I am new to the topic that I found difficulty for the question:
Given the function $g(x) = e^{-X}$, $X \sim N(0,1)$, calculate the variance of $g(x)$.
I know the answer is $e(e-1)$. But I don't know how to get that. Can anyone help?
In additions, would anyone provide me a book that may explore this area?
Thanks.