Throughout this chapter we work in a continuous geometric Brownian model in which the asset price (St)t∈[0,T ] has the dynamics
dSt = rStdt+ σStdBt, t ∈ [0, T ],
and we assume that probability measure P is risk-neutral. In particular the value Vt of a self-financing portfolio satisfies
VT e −rT = V0 + σ
w T 0 ξtSte
−rtdBt, t ∈ [0, T ].