4.10. Let to = 0 where Z(t) is geometric Brownian motion with drift parametersr and variance parameter

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4.10. Let to = 0

where Z(t) is geometric Brownian motion with drift parametersr and variance parameter 022 (see the geometric Brownian motion in the Black-Scholes formula (4.20)). Show that is a martingale.

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An Introduction To Stochastic Modeling

ISBN: 9780126848878

3rd Edition

Authors: Samuel Karlin, Howard M. Taylor

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Question Posted: Oct 31, 2024 06:00 AM

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4.10. Let to = 0 where Z(t) is geometric Brownian motion with drift parametersr and variance parameter

Question:

exp(-rt),

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An Introduction To Stochastic Modeling

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