a) f( Be , t ) =

Btt eBe
z

靠 : 0 ,
發 = HeBt ,
靠 z
=
eBe

: df =
HeBt dBt⼗
)
* eBe )
aBe
2

⽂ eBe dt t HeBey
1 dBe adriffferm N
Martiugale
=
→There . oI .

b) f (t
主t Bt
≥ +
, Bt ) =
Bt -
t + e
H
2
+ Bt 比* ,

在⼆
- 1

⼗⼀⽀ eit ,
= Btte Ʃt
=
te ⽂ ttBt
=
- 2 毙

=舞 +d + dt
附

∴ . df d 北 ⽂ =

Btte 当 ) dBe
e +Bt
:
靠北 靠北 -

& Btte ) & Bt

* t+Bt
=

. : There is no driftterm .It is a

martingale .
2 .
At time t ,

Price =
Ce
(Ft)
=
Si 更 d. )

-Ster ⑦ (dr )

! AttimeO , ,

Prce

E ( ertce )
=
E是 ( SiertE[ d . )
-SeevT ⻄ (d 2
)
=
Seert ⾞ (d ) SeerT 1
-

⾞ (dr )
x
 See δ
t
St =

Let
Etz 州 e

)
i
⾶ fr ) : Et , = e
8 ← , = 0

(
(5 ) dtEe te tdse
r 8
∴ . dEt = r

=
)8- dtEe
( test ( use dt t { st dBt )

=
(ut 8r) zt tdt EEe dBe

+
=
Et ( dt
u
+ dBt) e qEtdBQ
8
CB 早
µ+
∴ =
此 + dBe

Then under Q -

measure ,

⼀当 { t
'
+ qBeQ
Et =
Eoe

( 分立例 t ⼗ EtQ
5e
~

; =
s0 e
~

→ St ~
LN ( 比 8 当 )Ft εF
"
⼀

Price = ert EQ 'Max ( -k ) et

( ,
0

= 州
er ( Q ( Max ( "- , ) ) k

0 )

"
etrt) [
f ) f(s0 Jas; easTer deaotafn
Maxs k
-
:
=

. X =
STT
( t)
r τ "
-

f< xk) f (x) dx

-

=
e
Let u =
ux -lnse -

( 8 ÷)F-)
r -

erlit µ orts 1 ] d
µ σ
$
下⽒ F

xovex
= x 此

% ( du =

µ “ )x )
mcx
1
- KS . "
 rF
"
( Uavttrf δ -字例 (
当⼼落 du
= e
-
] sie
d
e

) "
tevlit % 前 eiue d , ,

-
nk ns r - - ÷ {)(
8 Ft
where
(
-

d =

σ (oπ )

Thelaguliintegral
e( d)

JusS
π ( r - 了8
-

当 ( W 2 u 9t
- + 82⽒ )
du
“ 前
.
e

=
Ster
(πt )
s ⼭麻 e
⼀⽀ orFt)
Pda
d
⼭
( δ) (rt )
=δee
V'
Ja π dv U E ⺠
*

, N= -

-
at e
⼀
du u=

(τ 1 t
=δter
-

⾞(σ t
-

d )

8五 ( Tt)
See
r
iPrice - ⾞( d
)1
-

=
σ ( d) te
-
 *]
ert ∞f[ s Ge "dST
0
4 PrTce
.
=
S }σ
u
5
^

het
Sakpert osie ⼀ u=
dST +①
dues
= ST

:
“ KS
)
北