Question: Use Ito's formula to compute the stochastic differentials dZt when: (Wt is a Brownian motion) (a) Zt = Wa, (b) Zt = So WidWu +

Use Ito's formula to compute the stochastic differentials dZt when: (Wt

Use Ito's formula to compute the stochastic differentials dZt when: (Wt is a Brownian motion) (a) Zt = Wa, (b) Zt = So WidWu + So Wudu, (c) Zt = S? where dSt = uSidt + o SidWt (u and o are constants), (d) Zt = exp (@St) where dSt = uSidt + o SidWt

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