Let the value of a derivative be given by the process V(S, t) = S(T-t), with x and y some parameters and (Tt) the time to maturity. The stock price St follows a geometric Brownian motion d.St = (a 8) Stdt + o StdWt, with Wt a standard Brownian motion. The annual return is a, the respective dividend yield is 6, and the annual volatility is o. a) Derive the behavior of the derivative's price process using Ito's lemma. Express the solution dV as a function of V instead of S. Leave subscripts and multiplication signs out of your final answer. dVt = b) Suppose the following parameters: x=-4, y = 0.6, a = 0.61, 8 = 0.02, o = 0.34. What are the values for the drift term and the diffusion term? That is, what are and for dV = xVdt + xV+dWt? Use your stochastic differential equation (SDE) from 3a). Write your answer in the form [1, 2] and round to two decimal places. [x1, x2] = c) Assume that the annual price process of a derivative equals dVt = -1.804Vtdt - 1.36VdWt, with initial value V = 36. Derive the value in one month V1/12 at the 24% percentile (when using continuous compounding). $