1. 

   april2105 Member

   Hi,
   
   I am having trouble understanding how we get from
   
   E[exp(sigma B_t)] to exp(0.5 sigma^2 t) using the MGF on pg 11 of the tables.
   
   If we compare exp(sigma B_t) to M(t) do we get:
   
   exp(sigma B_t) to equal exp(0.5 sigma^2 t^2?)?
   
   mu=0 but how we get to the end result puzzles me!
   
   Could someone please help?
   
   Thanks!

    

   april2105, Oct 2, 2012

   #1
2. 

   Mike Lewry Member

   Please see this thread http://www.acted.co.uk/forums/showthread.php?t=7072

    

   Mike Lewry, Oct 8, 2012

   #2

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