How do we find the expected value of an exponential that has a Brownian motion in the power? E.g. exp{SIG*Wt - a*t} where Wt is Brownian and a is a constant.
If you ever find yourself trying to take expectations of \(e\) to the power of a random variable, then you're going to want to use the relevant moment generating function - that's exactly what they're there for