Question: Exercise 6.1.6 Let X be a lognormal random variable such that ln X has mean and variance 2. Prove the identity a

Exercise 6.1.6 Let X be a lognormal random variable such that ln X has mean μ

and variance σ2. Prove the identity

 ∞

a xf (x) dx = eμ+σ2/2 N(μ−ln a

σ

+σ).

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