Under the risk neutral measure, S t follows the Geometric Brownian process where Let B(t,T) be the
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Under the risk neutral measure, St follows the Geometric Brownian process where
Let B(t,T) be the time-t value of the T-maturity discount bond. Under the forward measure QT where B(t,T) is used as the numeraire, show that
Give a financial interpretation of the above result.
Transcribed Image Text:
d St St = ridt+odZ.
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The expression youve provided involves the change of measure from the riskneutral measure to the for...View the full answer
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