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 Dec 12 revised Is this geometric Brownian Motion? added 80 characters in body Dec 12 comment Is this geometric Brownian Motion? $\sigma(t)$ is stochastic and has a separate Wiener process inside of it. Dec 12 asked Is this geometric Brownian Motion? Dec 8 revised How many multiples of X lie in the arbitrary range [Y,Z]? Avoided distracting, unnecessary and irritating signature. Dec 8 suggested approved edit on How many multiples of X lie in the arbitrary range [Y,Z]? Dec 4 comment Partial Derivative of an Integral Do you know if/why my answer is incorrect (if yours is correct)? I know that it's false to say that "you can't write partial derivatives w.r.t. BM". For example apply Ito's lemma to the function $f(t,x)$, where $x$ is $B(t)$ (in fact this is one of the most standard routines in stochastic finance). Applying Ito's lemma you will end up having to evaluate $\frac{\partial f}{\partial x}(t,x)$. Dec 4 comment What's the intuition behind non-integer exponents/powers This helps!${}{}{}$ Dec 4 asked What's the intuition behind non-integer exponents/powers Dec 2 accepted Notation: What's $]a,b[$ Dec 2 asked Notation: What's $]a,b[$ Dec 1 awarded Tumbleweed Dec 1 revised Black scholes model type deleted 12 characters in body Dec 1 comment Black scholes model type @math I made it ambiguous by skipping a few steps and also dropping the conditional $P\{...|...\}$ notation. Here's what I did: (1) Divide both sides by $S_2(T)$ (doesn't change inequality, GBM is strictly positive), (2) log both sides; $\ln{1} = 0$ so the RHS just becomes 0. Inequality still holds because $ln$ is monotone increasing. Dec 1 comment Black scholes model type @math Unfortunately this is a black box to me (I lifted it from lectures). All I know is that it very very easily allows one to compute the solution to options such as the Magrabe option (which is the one you're asking about). Nov 30 revised Black scholes model type added 74 characters in body Nov 30 answered Black Scholes model Nov 30 awarded Teacher Nov 30 answered Black scholes model type Nov 25 comment Substituting integral into an integral My lecture slides say that the answer is $\displaystyle \ \ \int_0^t \int_u^t \alpha(u,s)dsdu$ Nov 25 revised Substituting integral into an integral added 8 characters in body