Finance Let {W(t) : t ≥ 0} be a standard Brownian motion. The stock price of a certain stock S(t) follows the stochastic differential equation at time t is dS(t) S(t) = µdt + σdW(t) Use Itˆo’s lemma to derive the stochastic differential equation for f(S, t) = t × S(t).
Finance Let {W(t) : t ≥ 0} be a standard Brownian motion. The stock price of a certain stock S(t) follows the stochastic differential equation at time t is dS(t) S(t) = µdt + σdW(t) Use Itˆo’s lemma to derive the stochastic differential equation for f(S, t) = t × S(t).
Calculus For The Life Sciences
2nd Edition
ISBN:9780321964038
Author:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Chapter11: Differential Equations
Section11.CR: Chapter 11 Review
Problem 12CR
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Finance
Let {W(t) : t ≥ 0} be a standard Brownian motion. The stock price of a certain stock S(t) follows the stochastic differential equation at time t is dS(t) S(t) = µdt + σdW(t) Use Itˆo’s lemma to derive the stochastic differential equation for f(S, t) = t × S(t).
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