Show that the first term in the last integral in (3.4.27) can be expressed as 

where x = ln S_T2 and y = ln S_T1 . Through comparison with the second term in (3.4.27), show that the above integral reduces to the first term given in (3.4.29).

The second term in (3.4.27) can be expressed as

Transcribed Image Text:

e-r(T₁-t) Fo ST₁ N₁ (d₁) (ST₁; S) d ST₁ "In Jn x₂ 2π 0√1₁-10√1₂-7-Se² (T₁-1) 1 = 1 In ST₁ {y - [In S+ (r +) (T-1)]} ² 20² (T₁-t) -D]1²) -r(T₁-t) exp exp(- 1 $)(12 - Toll² ) dxdy, {x-[y+ (r + ²) (7₂ - Ti)]}²\ 20²(T₂ - T₁)