1
$\begingroup$

Given a geometric Brownian motion:

$\frac{dZ}{Z} = \mu dt + \sigma dW$

Is there a closed-form solution to $\mathbb{E}[z_s | (z_s > a)\cap(z_t > b)]$ for $t \geq s$?

$\endgroup$
  • $\begingroup$ I don't know, is there? $\endgroup$ – Math1000 May 10 '18 at 9:42

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.