Problem 10. A security's price follows geometric Broumian motion: S(t) = S(O)eX(t)with drift parameter u=0.1 and volatility parameter o=0.2. Consider an investment that, for an initial cost of A, returns you 50 in six months if the price at that time is more than 95% of what it initially was but returns you 0 otherwise. What must be the value of A in order for this investments introduction not to allow an arbitrage! Assume r = .05. Problem 10. A security's price follows geometric Broumian motion: S(t) = S(O)eX(t)with drift parameter u=0.1 and volatility parameter o=0.2. Consider an investment that, for an initial cost of A, returns you 50 in six months if the price at that time is more than 95% of what it initially was but returns you 0 otherwise. What must be the value of A in order for this investments introduction not to allow an arbitrage! Assume r = .05