• 

The market price S, of a traded security satisfies the following stochastic differential equation: dS, (u-o)S,dt+S,dW, where W, is a standard Brownian motion under the probability measure P*. (i) Determine the value of such that the discounted asset price process S = eS, is a martingale under the given probability measure. [3] (ii) Explain whether the probability measure P' is the real-world or risk-neutral measure, for the value of obtained in part (i). [3]