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Exhibit: The stock price S of an underlying security follows the geometric Brownian motion process ds =uS dt+oS dz, where z is a standard Wiener process. Then, 4. the process followed by S4 is a. ds4 = (4µ+0²)S*dt + 40S³ dz b. ds4 = (4µ+60²)S*dt +40S*dz c. ds4 = us dt+oS*dz d. ds4 = (+40)S^dt + oSdz

Exhibit: The stock price S of an underlying security follows the geometric Brownian motion process ds =uS dt+oS dz, where z is a standard Wiener process. Then, 4. the process followed by S4 is a. ds4 = (4µ+0²)S*dt + 40S³ dz b. ds4 = (4µ+60²)S*dt +40S*dz c. ds4 = us dt+oS*dz d. ds4 = (+40)S^dt + oSdz

Advanced Engineering Mathematics
Advanced Engineering Mathematics
10th Edition
ISBN:9780470458365
Author:Erwin Kreyszig
Publisher:Erwin Kreyszig
Chapter2: Second-order Linear Odes
Section: Chapter Questions
Problem 1RQ
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Answer the next two questions based on the information given in the following Exhibit: Exhibit: The stock price S of an underlying security follows the geometric Brownian motion process ds = μS dt+oS dz, where z is a standard Wiener process. Then, 4. the process followed by S4 is a. dS4 = (4μ+0²)S4dt +40S³ dz ds4 = (4μ+602)S4 dt + 40S4 dz c. ds4 = us dt + os dz b. d. ds4 = (+40)S^dt +oSdz 5. the process followed by G(S, 1) = e(T-t)/S² is a. dG = (30²-2μ - r)Gdt - 20Gdz b. dG = (2μ-r)dt - 20Gdz c. dG = (30²-2μ r)Gdt + Gdz 1 16
Transcribed Image Text:Answer the next two questions based on the information given in the following Exhibit: Exhibit: The stock price S of an underlying security follows the geometric Brownian motion process ds = μS dt+oS dz, where z is a standard Wiener process. Then, 4. the process followed by S4 is a. dS4 = (4μ+0²)S4dt +40S³ dz ds4 = (4μ+602)S4 dt + 40S4 dz c. ds4 = us dt + os dz b. d. ds4 = (+40)S^dt +oSdz 5. the process followed by G(S, 1) = e(T-t)/S² is a. dG = (30²-2μ - r)Gdt - 20Gdz b. dG = (2μ-r)dt - 20Gdz c. dG = (30²-2μ r)Gdt + Gdz 1 16
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