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5. Suppose that the underlying stock price process {Se}t>o under the physical measure satisfies the SDE dS, = uSidt + Sid where u and o

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5. Suppose that the underlying stock price process {Se}t>o under the physical measure satisfies the SDE dS, = uSidt + Sid" where u and o are constants. The interest rate is a constant r. (a) What is the stock price dynamics under the risk-neutral measure? (b) Calculate pe(Sr > K)

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