Derive the density of the Geometric Brownian motion (3.14) and use the result to show that...

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Derive the density of the Geometric Brownian motion (3.14) and use the result to show that P(S(t) = 0) = 0, i.e., a stock whose price is described by a geometric Brownian motion cannot default. Derive the density of the Geometric Brownian motion (3.14) and use the result to show that P(S(t) = 0) = 0, i.e., a stock whose price is described by a geometric Brownian motion cannot default.

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The density of the Geometric Brownian motion is given by ps 1sexplnsS0musigma22tsigmasqrttsqrt12pi... View the full answer