Consider a process whose value changes every h time units; its new value being its old value

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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.

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