Question
(a) Let Y = aX +b where a and b are real numbers and X and Y are random variables. Express M y (t) in
(a) Let Y = aX +b where a and b are real numbers and X and Y are random variables. ExpressMy (t) in terms of Mx(t). Hint: Use the definition of the moment generating function and the properties of expectation. (b) Let X be a random variable with distribution Exp(1/5), and let Y = 2X + 1. ComputeMy (t).
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Mathematical Analysis For Quantitative Finance
Authors: Daniele Ritelli, Giulia Spaletta
1st Edition
1351245104, 9781351245104
