B3 Problem 1(a)Suppose \Delta S- 35^2\Delta t + 4S^2\Delta X). Find the form of Ito's lemma.O NDelta f(S.t)\approx 35^2\dfrac[\partial fl\partial S}\Delta X+ \left|35^2 \dfrac{\partial f{\partialS+\dfrac{\partial \partial t) + \dfrac(9)(2)5^4 \dfrac[\partial^2 f\partial S^2)\right|\Delta t)O V\Delta f(S,\approx 45^2\dfrac{\partial f)(\partial SI\Delta X + \left(35^2 \dfrac{\partial f)(\partialS+\dfrac{\partial n\partial t) + 165^4 \dfrac{\partial^2 ({\partial S^2]\right|\Delta t)O V\Delta f(S.t)\approx 35^2\dfrac{\partial f{\partial SJ\Delta X+ \left[45^2 \dfrac{\partial fil\partialSJ+\dfrac{\partial f{\partial t) + \dfrac[9){2)s^4 \dfrac{\partial^2 f\partial S^2]\right|\Delta t)O V\Delta f(S.t)\approx 45^2\dfrac{\partial f}{\partial S\Delta X+ \left(45^2 \dfrac{\partial f\partialS+\dfrac{\partial \partial t) + 8S^4 \dfrac{\partial^2 f\partial S^2]\vright|\Delta t)O VIDelta f(S.t\approx 45^2\dfrac{\partial f{\partial S\Delta X + \left[35^2 \dfrac{\partial f){\partialS+\dfrac{\partial f}{\partial t) + 85^4 \dfrac{\partial^2 f[\partial S^2}\right|\Delta tu

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Description: B3 Problem 1(a)Suppose \Delta S- 35^2\Delta t + 4S^2\Delta X). Find the form of Ito's lemma.O NDelta f(S.t)\approx 35^2\dfrac[\partial fl\partial S}\Delta X+ \left|35^2 \dfrac{\partial f{\partialS+\dfrac{\partial \partial t) + \dfrac(9)(2)5^4 \dfrac[

Given: \{\Delta S=3S^2\Delta t+4S^2\Delta X\}…

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Suppose \Delta S- 35^2\Deltat+ 4S^2\Delta X). Find the form of Ito's lemma. O IDelta f(S,\approx 35^2\dfrac{\partial f)l\partial S\Delta X+ \left[35 2 \dfrac(\partial f\partial S)+\dfrac{\partial f\partial t) + \dfrac(9(2)5^4 \dfracl\partial^2 f\partial S^2)\right|\Delta t O VADelta f(S,\approx 45^2\dfrac[\partial f\partial SJ\Delta X+ \left(35^2 \dfrac{\partial f\partial S+\dfrac{\partial f(\partial t) + 16S^4 \dfrac{\partial^2 (\partial S^2)\right|\Delta t) O MIDelta f(5,t\approx 35^2\dfrac{\partial f)(\partial S\Delta X + \left|45^2 \dfrac{\partial f)\partial Sj+\dfrac{\partial f{\partial t)+ \dfrac{9{2)S^4 \dfrac{\partial^2 f\partial S^2]\vight|\Delta t) O MIDelta f(S,t\approx 45^2\dfrac[\partial f){\partial S\Delta X + \left|45^2 \dfrac(\partial f)(\partial S)+\dfrac{partial f}{\partial t) + 8S^4 \dfrac{\partial^2 f}(\partial S^2]\vright|\Delta t) O VIDelta f(S.t\approx 45^2\dfrac{\partial f)(\partial S\Delta X + \left|35^2 \dfrac{\partial f)(\partial Sl+\dfrac[\partial f(\partial t) + 85^4 \dfrac{\partial^2 f)[\partial S^2)\right|\Delta tU

Suppose \Delta S- 35^2\Deltat+ 4S^2\Delta X). Find the form of Ito's lemma. O IDelta f(S,\approx 35^2\dfrac{\partial f)l\partial S\Delta X+ \left[35 2 \dfrac(\partial f\partial S)+\dfrac{\partial f\partial t) + \dfrac(9(2)5^4 \dfracl\partial^2 f\partial S^2)\right|\Delta t O VADelta f(S,\approx 45^2\dfrac[\partial f\partial SJ\Delta X+ \left(35^2 \dfrac{\partial f\partial S+\dfrac{\partial f(\partial t) + 16S^4 \dfrac{\partial^2 (\partial S^2)\right|\Delta t) O MIDelta f(5,t\approx 35^2\dfrac{\partial f)(\partial S\Delta X + \left|45^2 \dfrac{\partial f)\partial Sj+\dfrac{\partial f{\partial t)+ \dfrac{9{2)S^4 \dfrac{\partial^2 f\partial S^2]\vight|\Delta t) O MIDelta f(S,t\approx 45^2\dfrac[\partial f){\partial S\Delta X + \left|45^2 \dfrac(\partial f)(\partial S)+\dfrac{partial f}{\partial t) + 8S^4 \dfrac{\partial^2 f}(\partial S^2]\vright|\Delta t) O VIDelta f(S.t\approx 45^2\dfrac{\partial f)(\partial S\Delta X + \left|35^2 \dfrac{\partial f)(\partial Sl+\dfrac[\partial f(\partial t) + 85^4 \dfrac{\partial^2 f)[\partial S^2)\right|\Delta tU

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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Question

Problem 1(a)
Suppose \Delta S- 35^2\Delta t + 4S^2\Delta X). Find the form of Ito's lemma.
O NDelta f(S.t)\approx 35^2\dfrac[\partial fl\partial S}\Delta X+ \left|35^2 \dfrac{\partial f{\partial
S+\dfrac{\partial \partial t) + \dfrac(9)(2)5^4 \dfrac[\partial^2 f\partial S^2)\right|\Delta t)
O V\Delta f(S,\approx 45^2\dfrac{\partial f)(\partial SI\Delta X + \left(35^2 \dfrac{\partial f)(\partial
S+\dfrac{\partial n\partial t) + 165^4 \dfrac{\partial^2 ({\partial S^2]\right|\Delta t)
O V\Delta f(S.t)\approx 35^2\dfrac{\partial f{\partial SJ\Delta X+ \left[45^2 \dfrac{\partial fil\partial
SJ+\dfrac{\partial f{\partial t) + \dfrac[9){2)s^4 \dfrac{\partial^2 f\partial S^2]\right|\Delta t)
O V\Delta f(S.t)\approx 45^2\dfrac{\partial f}{\partial S\Delta X+ \left(45^2 \dfrac{\partial f\partial
S+\dfrac{\partial \partial t) + 8S^4 \dfrac{\partial^2 f\partial S^2]\vright|\Delta t)
O VIDelta f(S.t\approx 45^2\dfrac{\partial f{\partial S\Delta X + \left[35^2 \dfrac{\partial f){\partial
S+\dfrac{\partial f}{\partial t) + 85^4 \dfrac{\partial^2 f[\partial S^2}\right|\Delta tu

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