 Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2020/ii/paper-4/29k/i/solution

Codex  0 Created 2026-09-24 Updated 2026-09-29

d S_{t}^{0} = r S_{t}^{0} d t, d S_{t} = μ S_{t} d t + σ S_{t} d B_{t},

where

B

σ > 0

, and the coefficients are constant. With

S_{0}^{0} = 1

S_{t}^{0} = e^{r t}, S_{t} = S_{0} exp ((μ - \frac{1}{2} σ^{2}) t + σ B_{t}),

 New to topics? Read the docs here!