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Risk Neutral Pricing and Financial Mathematics: A Primer by John L. Teall, Peter M. Knopf

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Finally, we find that it takes t=21.638 days from 3 days ago for the exchange rate to drop to 6.1:

rt=6.1=6+0.5×e0.07438tt=10.07438ln0.10.5=21.638

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4.13. 

a. The equation is separable. We will divide both sides by r(μr) to separate and integrate:

drr(μr)=λdt

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b. Using partial fractions, this is written:

(1μr+1μ(μr))dr=λdt

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It is easy ...

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