Suppose a stock price follows the Ito process dS = aS dt + bS dB, (1) where

Suppose a stock price follows the Itˆo process dS = aSα dt + bSβ dB, (1) where a, b, α, β are all constants non-zero constants, and α, β 6= 0, 1. Find F(S), a differentiable function of the stock price, such that dF is an Itˆo process with constant volatility σ. What PDE would be satisfied by the price of options on the sto

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Block Slules PDE dosineafior ith femrminal Cordinions call Gre well cderive he cphin B... View the full answer