New answers tagged geometric-brownian
3
We have
$$
\begin{align}
V(t) &= \mathbb{E}^{Q}[\mathbb{1}_{S(T_1)>B} (S(T_2)-K)^+)] \\
&= \mathbb{E}^{Q}[\mathbb{1}_{S(T_1)>B}\mathbb{1}_{S(T_2)>K} (S(T_2)-K))] \\
&= \mathbb{E}^{Q}[\mathbb{1}_{S(T_1)>B}\mathbb{1}_{S(T_2)>K} S(T_2)]-K\mathbb{E}^{Q}[\mathbb{1}_{S(T_1)>B}\mathbb{1}_{S(T_2)>K}] \\
\end{align}
$$
The second term ...
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