Let Xt be a geometric Wiener process, XteYt where Yt ¼ N(μt, Ï2t) Consider the definition And
Question:
XteYt
where
Yt ¼ N(μt, Ï2t)
Consider the definition
And the trivial equality
Using these, calculate the expectation:
E[Xt|Xs,s
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Related Book For
An Introduction to the Mathematics of Financial Derivatives
ISBN: 978-0123846822
3rd edition
Authors: Ali Hirsa, Salih N. Neftci
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