Consider a commodity with constant volatility sigma and an


Consider a commodity with constant volatility σ and an expected growth rate that is a function solely of time. Show that, in the traditional risk-neutral world,

where ST is the value of the commodity at time T, F(t) is the futures price at time 0 for a contract maturing at time t, and ?(m, v) is a normal distribution with mean m and variance v.

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Financial Econometrics: Consider a commodity with constant volatility sigma and an
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