ABSTRACT
St D S0e.2=2/tCWt ; where S0 is the initial price of the stock, which it may be assumed is observed at time 0. The information available at time t is the history of the price process, Ft D .Su; 0 6 u 6 t/, that is the information obtained by observing the movements of the stock price process up to time t ; equivalently, it is .Wu; 0 6 u 6 t /, the information obtained by observing the driving Brownian motion in the stochastic differential equation.
