Timeline for Expectation of $\frac {S_{T_2}} {S_{T_1}}$ at $T_0$
Current License: CC BY-SA 4.0
4 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| May 29, 2019 at 15:44 | comment | added | bhutes | Thanks, much appreciated. | |
| May 29, 2019 at 14:29 | comment | added | Dave Harris | If $r=0$ and $\sigma=0$ then $S_{T_t}$ is not a random variable. I found you a set of videos, the author makes a few mistakes but catches them. It is the full derivation. The first video is youtube.com/watch?v=9j398FbirQY It is followed on by youtube.com/watch?v=QLILi7oOTek youtube.com/watch?v=joF0RFx4_TE and youtube.com/watch?v=eqjg-FPUv3o It takes about an hour to watch. | |
| May 29, 2019 at 4:04 | comment | added | bhutes | Thanks for the above, but this is beyond me. In the limiting case, when $r=0, \sigma=0$, the ratio $\frac {S_{T_2}} {S_{T_1}} = 1$, as $S_T$ is a constant. I expect the general solution to collapse to the particular case I have cited. | |
| May 27, 2019 at 17:21 | history | answered | Dave Harris | CC BY-SA 4.0 |