Question
Suppose that Y1 (1, 1) and Y2 (2, 1) are independent r.v.s. Let U1 =Y1/(Y1 + Y2) and U2 = Y1 + Y2 (a) Find
Suppose that Y1 (1, 1) and Y2 (2, 1) are independent r.v.s. Let U1 =Y1/(Y1 + Y2) and U2 = Y1 + Y2
(a) Find the joint p.d.f. of U1 and U2.
(b) Are U1 and U2 independent? Justify your answer.
(c) Show that U1 (1, 2) (i.e. beta distributed with parameters 1 and 2).
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An Introduction to the Mathematics of financial Derivatives
Authors: Salih N. Neftci
2nd Edition
978-0125153928, 9780080478647, 125153929, 978-0123846822
