Question: 8.4.10 Let t0 D 0 < t1 < t2 < be time points, and define Xn D Z.tn/exp.????rtn/, where Z.t/ is geometric

8.4.10 Let t0 D 0 < t1 < t2 < be time points, and define Xn D Z.tn/exp.????rtn/, where Z.t/ is geometric Brownian motion with drift parameters r and variance parameter 2 (see the geometric Brownian motion in the Black-Scholes formula (8.53)). Show that fXng is a martingale.

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