Check that the distribution of (A_{Theta}^{(u)}) is that of (B /(2 Gamma)) where (B) has a (operatorname{Beta}(1,

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Check that the distribution of $A_{\Theta}^{(u)}$ is that of $B /(2 \Gamma)$ where $B$ has a $\operatorname{Beta}(1, \alpha)$ law and $\Gamma$ a $\operatorname{Gamma}(\beta, 1)$ law with

\[\alpha=\frac{u+\gamma}{2}, \beta=\frac{\gamma-u}{2}, \gamma=\sqrt{2 \lambda+u^{2}}\]

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Mathematical Methods For Financial Markets

ISBN: 9781447125242

1st Edition

Authors: Monique Jeanblanc, Marc Yor, Marc Chesney

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Question Posted: Apr 03, 2024 01:01 AM

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Check that the distribution of (A_{Theta}^{(u)}) is that of (B /(2 Gamma)) where (B) has a (operatorname{Beta}(1,

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To verify that the distribution of AThetau is that of B 2 Gamma where B has a operatornameBeta1 alpha distribution and Gamma has a operatornameGammabe...View the full answer

Mathematical Methods For Financial Markets

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