11. Consider a process whose value changes every h time units; its new value being its old...
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11. Consider a process whose value changes every h time units; its new value being its old value multiplied either by the factor eσ
√
h with probability p = 12
(1 + μ
σ
√
h), or by the factor e−σ
√
h with probability 1−p. As h goes to zero, show that this process converges to geometric Brownian motion with drift coefficient μ and variance parameter σ2.
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