Question
(a) Use the Ito formula to nd the mean and the variance of ekW(t), where k is a constant and W(t) is a standard Brownian
(a) Use the Ito formula to nd the mean and the variance of ekW(t), where
k is a constant and W(t) is a standard Brownian motion.
(b) The price of a stock S(t) at time t (with drift and volatility ) satises the stochastic
dierential equation
dS(t) = S(t)dt + S(t)dW(t)
Find the stochastic dierential equation associated with the processes: 1) 1
S(t) ; 2) Sn(t).
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Managerial Accounting An Integrative Approach
Authors: C J Mcnair Connoly, Kenneth Merchant
2nd Edition
099950049X, 978-0999500491
