Consider a standard random walk Sn = X ++ X, with So= 0 and independent Bernoulli...
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Consider a standard random walk Sn = X₁ ++ X₁, with So= 0 and independent Bernoulli increments X₁, X₂,... distributed as P(X=1)=P, P(X=-1) = q = 1-p, k≥ 1. We let To denote the time of first return to zero of (Sn)n20, which is known to have the probability distribution P (To = 2n | So = 0) = 2n²-1 (2) (Pq)", a) Give the value of P(To Consider a standard random walk Sn = X₁ ++ X₁, with So= 0 and independent Bernoulli increments X₁, X₂,... distributed as P(X=1)=P, P(X=-1) = q = 1-p, k≥ 1. We let To denote the time of first return to zero of (Sn)n20, which is known to have the probability distribution P (To = 2n | So = 0) = 2n²-1 (2) (Pq)", a) Give the value of P(To
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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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