Solution

ID: past-exam-of-the-probability-statistics-and-options-i-course-of-the-university-of-oxford/2010/f/1/b/solution

For fixed , the map is strictly increasing because its derivative is , and it tends to opposite infinities at the two ends of the real line. The intermediate value theorem gives exactly one root, defining .
For , never vanishes. The implicit function theorem supplies a solution locally around every . Uniqueness makes all these local functions agree on overlaps, proving . Implicit differentiation gives
At the root is zero, so .

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