Show that e Y t is indeed a Q-martingale by using the law of iterated expectations.

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Show that e^Y_t is indeed a Q-martingale by using the law of iterated expectations.

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A First Course in Quantitative Finance

ISBN: 978-1108419574

1st edition

Authors: Thomas Mazzoni

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Question Posted: Dec 17, 2018 04:32 AM

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Show that e Y t is indeed a Q-martingale by using the law of iterated expectations.

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Conditional on F t the dynamics of Y t ...View the full answer

A First Course in Quantitative Finance

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