What process does s follow in the risk-neutral measure

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Let an asset follow a Brownian motion

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with µ and a constant. The constant interest rate is r. What process does S follow in the risk-neutral measure? Develop a formula for the price of a call option and for the price of a digital call option. What is the analogue of the Black-Scholes equation for this asset?

Reference no: EM131187610

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