Use (17.23) to show that P(N t = n|F t ) is indeed a probability. (17.23) f(Ax,F1-1)

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Use (17.23) to show that P(N_t= n|F_t) is indeed a probability.

(17.23)

$f(Ax,F1-1) = >f(Ax;|N, = n, F1-1) · P(N, =n\F1-1) 1 (Ax, – µ, – n®)²' 1 Σ exp 2 n! V27(h, + n8²) h, + nổ? II$

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A First Course in Quantitative Finance

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1st edition

Authors: Thomas Mazzoni

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Question Posted: Dec 17, 2018 04:26 AM

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Use (17.23) to show that P(N t = n|F t ) is indeed a probability. (17.23) f(Ax,F1-1)

Question:

f(Ax,F1-1) = >f(Ax;|N, = n, F1-1) · P(N, =n\F1-1) 1 (Ax, – µ, – n®)²' 1 Σ exp 2 n! V27(h, + n8²) h, + nổ? II

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The formulation shows that PN t nF t is al...View the full answer

A First Course in Quantitative Finance

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