臺大管理論叢 NTU Management Review VOL.29 NO.2

51 NTU Management Review Vol. 29 No. 2 Aug. 2019 By using martingale methodology, Equation (8) can be derived. where ; . Φ(·) denotes a cumulative standard normal probability density function. By substituting Equation (8) into (7), an exactly closed-form solution is obtained. (8)