A
april2105
Member
Hi,
I am trying to see how we match the expectation to the MGF of the normal distr on page 11 of the tables.
We have E[exp(sigma B_t)].
equating the MGF formula and the above would this not mean that:
exp(sigma B_t) = exp(0.5 sigma^2 t^2)?
Assuimng mu = 0?
How do we then go to the solution of
E[exp(sigma B_t)] = exp(0.5 sigma^2 t)
This puzzles me!
Thanks for your help!
I am trying to see how we match the expectation to the MGF of the normal distr on page 11 of the tables.
We have E[exp(sigma B_t)].
equating the MGF formula and the above would this not mean that:
exp(sigma B_t) = exp(0.5 sigma^2 t^2)?
Assuimng mu = 0?
How do we then go to the solution of
E[exp(sigma B_t)] = exp(0.5 sigma^2 t)
This puzzles me!
Thanks for your help!