Solution
= Solution
{c}
The stochastic differential computed above is
$$
dV_t=V_t\{(2\mu-r)\,dt+2\sigma\,dW_t\}.
$$
Thus this positive no-dividend traded claim behaves as a new <geometric Brownian motion> asset with
$$
\boxed{\tilde\mu=2\mu-r,\qquad\tilde\sigma=2\sigma.}
$$
The transformed drift need not be positive, even though the three original market parameters were assumed positive. Under the risk-neutral measure it becomes $r$, as it must for a non-dividend traded asset.