Suppose that the price of an asset follows a Brownian motion : [d S=mu S d t+sigma
Question:
Suppose that the price of an asset follows a Brownian motion :
\[d S=\mu S d t+\sigma S d z\]
(a) What is the stochastic process for \(S^{n}\) ?
(b) What is the expected value for \(S^{n}\) ?
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Step by Step Answer:
a To find the stochastic process for Sn we can use Itos lemma Let fS Sn Applying Itos lemma we have ...View the full answer
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Related Book For 
Quantitative Finance
ISBN: 9781118629956
1st Edition
Authors: Maria Cristina Mariani, Ionut Florescu
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