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Jun
29
comment Moment generating function of $(W_T, \max W_t)$
@ir7 My answer was wrong. I lost a constant somewhere. The new result is correct.
Jun
29
revised Moment generating function of $(W_T, \max W_t)$
Updated with correct answer.
Jun
26
comment Moment generating function of $(W_T, \max W_t)$
@ir7 Yeah, I just did that. Sort of. If you check my calculations and find any mistakes, please let me know.
Jun
26
revised Moment generating function of $(W_T, \max W_t)$
added 547 characters in body
Jun
26
revised Moment generating function of $(W_T, \max W_t)$
added 60 characters in body
Jun
26
revised Moment generating function of $(W_T, \max W_t)$
Updated with the answer to my question
Jun
26
comment Moment generating function of $(W_T, \max W_t)$
Of course! That did it. Using Wolfram Alpha I got it expressed in terms of the error function. I will add the answer to my post, for future reference.
Jun
25
comment Moment generating function of $(W_T, \max W_t)$
@Did I tried that, yes. But calculating that double integral (if it's even possible) is not trivial. I was hoping someone might be able to tell me that this had already been done.:)
Jun
24
asked Moment generating function of $(W_T, \max W_t)$
Jun
24
comment Mean and variance regime-switching model
This is perhaps a silly question, but what is $\epsilon(s)$?
May
11
answered How to show stochastic differential equation is given by an equation
May
10
comment No arbitrage iff there EMM $P^*$ theorem
Well, straight from the definitions above, a type A arbitrage is also a type B arbitrage. In fact, if we have a strategy giving a positive initial cashflow, see that we could alter the strategy slightly, by investing the amount obtained at time 0 in the risk-free asset. This will give $V_0 = 0$, and it is a type B arbitrage. I'm not exactly sure if this is what you are looking for, since I haven't seen the proof.
May
10
answered No arbitrage iff there EMM $P^*$ theorem
Apr
23
comment Geometric brownian motion - Ito's lemma
They should be corrected now.
Apr
23
revised Geometric brownian motion - Ito's lemma
Corrected all the errors
Apr
23
comment Geometric brownian motion - Ito's lemma
@Ian you are absolutely correct. There are just so many errors. Haha. Sorry for that.
Apr
23
answered Geometric brownian motion - Ito's lemma
Apr
12
answered Finding the probability of loss from standard deviation in normal distribution
Mar
28
awarded  Yearling
Sep
24
awarded  Autobiographer