<div dir="ltr"><div class="gmail_default" style="font-family:verdana,sans-serif">Hi all,</div><div class="gmail_default" style="font-family:verdana,sans-serif"><br></div><div class="gmail_default" style="font-family:verdana,sans-serif">For the last problem in the TA session, David narrowed it down to E[exp(2W) | Fs].</div><div class="gmail_default" style="font-family:verdana,sans-serif"><br></div><div class="gmail_default" style="font-family:verdana,sans-serif">Since we are integrating from s to t, my first thought was to assume that exp(2W) was a martingale when conditioned on Fs. Is this incorrect because of the BM being in the exponent?</div><div class="gmail_default" style="font-family:verdana,sans-serif"><br></div><div class="gmail_default" style="font-family:verdana,sans-serif">For example, if we had this same situation but instead of exp(2W), we just had W, I believe we could assume martingale, plug in s, and integrate. Is this thought process correct?</div><div class="gmail_default" style="font-family:verdana,sans-serif"><br></div><div class="gmail_default" style="font-family:verdana,sans-serif">Thanks again.</div><div class="gmail_default" style="font-family:verdana,sans-serif"><br></div><div class="gmail_default" style="font-family:verdana,sans-serif">Rich</div><div class="gmail_default" style="font-family:verdana,sans-serif"><br></div><div><br></div>-- <br><div class="gmail_signature" data-smartmail="gmail_signature"><div dir="ltr"><div><div dir="ltr"><font face="verdana, sans-serif">Richard Rosenbaum</font><div><font face="verdana, sans-serif">Master of Science in Computational Finance Candidate</font></div><div><font face="verdana, sans-serif">Carnegie Mellon University - Class of Dec. 2018</font></div></div></div></div></div>
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