If dS = S dt + S dX, use Ito's lemma to find the stochastic differential equation

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If dS = μS dt + σS dX, use Itô's lemma to find the stochastic differential equation satisfied by f(S) = log(S).

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Introduces Quantitative Finance

ISBN: 978-0470319581

2nd edition

Authors: Paul Wilmott

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Question Posted: Sep 23, 2020 05:52 AM

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If dS = S dt + S dX, use Ito's lemma to find the stochastic differential equation

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dfS 1SdS 121S22S2 dt 1SS dX dfS Sdt 122S2dt SdX This is the stochastic differential ...View the full answer

Introduces Quantitative Finance

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