2023 (source code)
= 2023
{scope}
{title2=B8.3}
{title2=A13374W1}
Source: https://www.whatdotheyknow.com/request/request_for_mathematics_examinat/response/3129786/attach/3/FOI%20202507%20740%20Data.pdf#page=252[released examination PDF, pages 252–255]. Solutions follow the numbering of the 6 June 2023 paper. Throughout, volatility is positive and the stated <Black-Scholes model> assumptions apply. The finite perpetual values in 2(b) additionally require $r>0$; the other interest-rate cases are explained below. Question 3's conditional expectation is evaluated under the measure stipulated there, with its financial interpretation qualified in 3(d).
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