Question: Consider a commodity with constant volatility and an expected growth rate that is a function solely of time. Show that, in the traditional risk-neutral

Consider a commodity with constant volatility σ and an expected growth rate that is a function solely of time. Show that, in the traditional risk-neutral world, o'T In S, - ø In F(T)-- 2

where S_T is the value of the commodity at time T, F(t) is the futures price at time 0 for a contract maturing at time t, and φ(m, v) is a normal distribution with mean and variance v.

o'T In S, - In F(T)-- 2

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