You will realize later that it won't matter for derivative valuation, all you'll need to do is change the drift so that the present value of the discounted process is a martingale under risk neutral measure.
For : ln St - ln Ss ~ N[mu(t-s),sigma(t-s)]
you will set Mu = r - [sigma]^2/2 and
Wt bar = Wt + [ r - [sigma]^2/2]*dt
For : ln St - ln Ss ~ N[(mu - 1/2 sigma^2)(t-s),sigma(t-s)]
you will set Mu = r
and Wt bar = Wt + [ r ]*dt
Last edited: Sep 25, 2013