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Use It o s Lemma to evaluate dS2 For the following four problems

Use Itˆo’s Lemma to evaluate dS2.

For the following four problems, use Itˆo’s Lemma to determine the process followed by the specified equation, assuming that S(t) follows

(a) Arithmetic Brownian motion, equation (20.8);

(b) A mean reverting process, equation (20.9); and

(c) Geometric Brownian motion, equation (20.11).

For the following four problems, use Itˆo’s Lemma to determine the process followed by the specified equation, assuming that S(t) follows

(a) Arithmetic Brownian motion, equation (20.8);

(b) A mean reverting process, equation (20.9); and

(c) Geometric Brownian motion, equation (20.11).

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