Gavin Jones was mystified by Ito 's lemma when he first studied it, so he tested it He started with (S ) governed by and found that (Q ln S ) satisfies He then applied Ito 's lemma to this last equation using the change of variable (S e Q ) Duplicate his calculations What did he get dS Sdt oSdz...

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Gavin Jones was mystified by Ito's lemma when he first studied it, so he tested it. He

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Gavin Jones was mystified by Ito's lemma when he first studied it, so he tested it. He started with $S$ governed by

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and found that $Q=\ln S$ satisfies

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He then applied Ito's lemma to this last equation using the change of variable $S=e^{Q}$. Duplicate his calculations. What did he get?

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Investment Science

ISBN: 9780199740086

2nd Edition

Authors: David G. Luenberger

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Question Posted: Apr 20, 2024 12:00 PM

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Gavin Jones was mystified by Ito's lemma when he first studied it, so he tested it. He

Question:

dS = Sdt+oSdz

Step by Step Answer:

Investment Science

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