Let {Wn} be the p-random walk given in the binomial model (7.24), and define YT as in (7.16). For some , let p =

Let {Wn} be the p-random walk given in the binomial model

(7.24), and define YT as in (7.16). For some θ, let p

∗

=

p eθ

p eθ + q

, where q = 1 − p. Mimicking the proof of Proposition 7.5, show that the prandom walk {Wn} is transferred to a p∗-random walk under P∗ defined by the transformation (7.19).