A
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!
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!