hard · Quantitative Finance
Determine if the process X_t = exp(σ W_t - α t) is a martingale, and if so, identify the required value for α.
- It is a martingale if α = 0
- It is a martingale if α = (1)/(2)σ^2
- It is never a martingale for any α
- It is a martingale if α = σ^2
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