New answers tagged stochastic-calculus
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Ito Calculus Solution for Path Average of Geometric Brownian Motion
You application of the Ito formula to $F_t$ missed the $\frac{1}{2}$ term for $\frac{1}{2} e^W_t dt$.
But, I would chose an alternative way to do it.
Focusing on $\int_0^T e^{W_t} dt$ you need
$E \...
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