# Math Help - Characteristic Function of Product of Random Variables

1. ## Characteristic Function of Product of Random Variables

Hi,

I am trying to calculate the characteristic function of X*Y where both X and Y are standard normal variables with correlation coefficient p. I have succeeded in the case where p = 0 using the law of iterated expectations E{X} = E{E{X|Y}} but have failed in this case.

Thanks for taking the time.

2. Originally Posted by freakalien
Hi,

I am trying to calculate the characteristic function of X*Y where both X and Y are standard normal variables with correlation coefficient p. I have succeeded in the case where p = 0 using the law of iterated expectations E{X} = E{E{X|Y}} but have failed in this case.

Thanks for taking the time.
See here: http://www.mathhelpforum.com/math-he...variables.html