Applied Probability

Consider the Black-Scholes model for the price Sn of a risky asset after n trading days: Sn = YlY2 . . . Yn, where Yi = exiAssume that the log-returns X1, ..., An are independent identically distributed random vari- ables with the normal density: H (a - 0.08)2 fx (20) = 0.2V2TT exp -00