The market value of an Unit Trust at time t may be defined b

The market value of an Unit Trust at time t, may be defined by the random process {U(t); t >0} This market value is related to the ordinary Brownian motion {X{t)\\ t > 0} with diffusion coefficient sigma^2 = 0.05 per month by Compute the probability that exactly 2 years from present the Unit Trust will be worth 20% more than its present value? Calculate the probability that the Unit Trust value will double within the next 5 years.

Solution