Question
1. Consider a stock and assume it follows a geometric Brownian motion dS = dt+dz. Consider now a function G = G(S, t). i) Use
1. Consider a stock and assume it follows a geometric Brownian motion dS = dt+dz. Consider now a function G = G(S, t).
i) Use Itos lemma to find the stochastic process dG followed by G.
ii) Use Itos lemma to find the stochastic process followed by G(S) = ln S.
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Introductory Econometrics For Finance
Authors: Chris Brooks
3rd Edition
1107661455, 9781107661455
