hildreth s sign and the love test
Girsanov’s theorem and the risk-neutral measure
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18/10/2013, 03:20
... I ! = 0, this doesn’t really tell us anything useful about I Thus, P P we consider subsets of , rather than individual elements of e Distribution of B T If is constant, then n o Z T ... is a martingale under IP 192 Lemma 1.54 (Baye s Rule) If X is F t -measurable and s t T , then f IE X jF s = Z s IE XZ t jF s : Proof: It is clear that Z 1s IE XZ t jF s is ... y2 dy (Substitute y = T + b) y = T + b = p 2T ,1 = 0: CHAPTER 17 Girsanov s theorem and the risk-neutral measure 191 fe We can also see that I B T = by arguing directly from the density formula...
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