Determine the arbitrage free price process for the gl(t)

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Reference no: EM131124204

Exercise 6.2 Consider the standard Black-Scholes model. An innovative company, F& H INC, has produced the derivative "the Golden Logarithm", henceforth abbreviated as the GL. The holder of a GL with maturity time T, denoted as GL(T), will, at time T, obtain the sum ln S(T). Note that if S(T) this means that the holder has to pay a positive amount to F& H INC. Determine the arbitrage free price process for the GL(T).

Reference no: EM131124204

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