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 = 1 2 (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.