8. (Reverse check) Gavin Jones was mystified by Ito's lemma when he first studied it, so he...

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8. (Reverse check) Gavin Jones was mystified by Ito's lemma when he first studied it, so he tested it He started with S governed by and found that = In S satisfies SS + dz dQ (o) do dz He then applied Ito's lemma to this last equation using the change of variable S = Duplicate his calculations What did he get? ee 9

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Investment Science

ISBN: 9780195391060

1st International Edition

Authors: David G. Luenberger

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