Consider the following SDE for St under the physical measure: dSt = dt + dWt. Write

Question:

Consider the following SDE for St under the physical measure: dSt = μdt + σ dWt. Write the corresponding dynamics under the risk-neutral measure, such that the discounted stock price is a martingale. Under the risk-neutral measure, use the methodology detailed in the book for the log-normal model to derive the closed-form value of a call.