Given that the process S t is a Geometric Brownian process, it follows that where Z t
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Given that the process St is a Geometric Brownian process, it follows that
where Zt is a P-Brownian process. Find another measure P̃ by specifying the Radon–Nikodym derivative dP̃/dP̃ such that St is governed by under the measure P̃, where Z̃t is a P̃ -Brownian process and μ′ is the new drift rate.
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