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

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b. 

E[lnS52S0]=[(0.0010.0222)0.52]=0.0416

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Var[lnS52S0]=σ2T=0.02252=0.0208

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6.23. First, divide both sides of the differential by MSt to obtain:

dStMSt=μdt+σdZt

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Since the integral of dSt/(MSt) for real-valued functions St equals −ln(MSt), we will use the expression ln(MSt) to obtain the correct solution for the stochastic process St

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