Question
Suppose Y has density function f(y) = 3/2 y 2 , 1 < y < 1. Find the density function for (a) U = 3Y
Suppose Y has density function f(y) = 3/2 y2, 1 < y < 1. Find the density function for (a) U = 3Y , (b) V = 3 Y , (c) W = Y2. Ans. (a) fU(u) = u2/18, 3 < u < 3 (b) fV (v) = (3/2)(3 u)2, 2 v 4 (c) fW (w) = (3/2)w, 0 w 1
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An Introduction to the Mathematics of Financial Derivatives
Authors: Ali Hirsa, Salih N. Neftci
3rd edition
012384682X, 978-0123846822
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