Exercise 15.1 Consider a claim Φ (X(T)) with pricing function F(t, x). Prove Proposition 15.4, i.e. prove that dF under Q has the form
dF=rFdt+ {...}dW,
where W is a Q-Wiener process.
Hint: Use Itô's formula on F, using the Q-dynamics of X. Then use the fact that F satisfies the pricing PDE.
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