Past exam of the mathematics course of the University of Cambridge / 2020 / ii / Paper 4 / 29K / i / Solution

In a Black-Scholes model, the risk-free asset and risky asset satisfywhere $B$ is a Brownian motion, $\sigma >0$, and the coefficients are constant. With $S_0^0=1$,so the risky asset is a geometric Brownian motion.