Let T denote the first time the Wiener process hits . When > 0, compute P(T

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Let Tα denote the first time the Wiener process hits α. When α > 0, compute P(Tα ≤ t).

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An Introduction to the Mathematics of Financial Derivatives

ISBN: 978-0123846822

3rd edition

Authors: Ali Hirsa, Salih N. Neftci

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Question Posted: Apr 29, 2016 03:43 PM

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Let T denote the first time the Wiener process hits . When > 0, compute P(T

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We will compute PT t by considering PWt and considering on whether or not T t This gives PW...View the full answer

An Introduction to the Mathematics of Financial Derivatives

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