Where C is the value of the call option, t is time to expiration of the option, and S(t) is the price of the underlying stock at time t.

(a) Assume that we wish to analyze some derivative security whose value can be written as C(t, S(t)). Use It's formula to derive an It process for C. (a) Assume that we wish to analyze some derivative security whose value can be written as C(t, S(t)). Use It's formula to derive an It process for C