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 uand volatility o ) satises the stochastic
dierential equation
dS(t) = uS(t)dt + oS(t)dW(t)
Find the stochastic dierential equation associated with the processes: 1)
1/S(t) ; 2) S^n(t).
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Essentials Of College Algebra
Authors: Margaret L Lial, John E Hornsby, David I Schneider, Teresa McGinnis
10th Edition
0321970632, 9780321970633
