Let H be a Wiener process. Consider the geometric process S again: (a) Calculate dS t .
Question:
Let H be a Wiener process. Consider the geometric process S again:
(a) Calculate dSt.
(b) What is the ?expected rate of change? of St?
(c) If the exponential term in the definition of St, did not contain the 1/2?2t term, what would be the dSt? What would then be the expected change in St?
Transcribed Image Text:
S, = Syelu-i:+oW,
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Geometric Brownian motion a dS t S t dt S t dW t which follows from Itos lemma see ...View the full answer
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Related Book For
An Introduction to the Mathematics of financial Derivatives
ISBN: 978-0123846822
2nd Edition
Authors: Salih N. Neftci
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