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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