[944] Last Example From TA Session Friday

[Richard Rosenbaum]

Hi all,

For the last problem in the TA session, David narrowed it down to E[exp(2W)
| Fs].

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?

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?

Thanks again.

Rich


-- 
Richard Rosenbaum
Master of Science in Computational Finance Candidate
Carnegie Mellon University - Class of Dec. 2018
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