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Answer by Frido for Computing Derivative Security with Change of Numeraire
Hint:I think you need to use a tradable as numeraire. So the money market and the stock price are tradables. But $S_t^2$ is not a tradable. How to solve this:Notice that for $t\in[0,T]$ the claim $E_t...
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Under Black-Scholes, price a contract worth $S_T^{2}log(S_T)$ at expiration.This is a question from Joshi's Quant Book (an extension question).Ok, so I solved this with 3 different methods to make sure...
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