Solution-Consider the geometric process s and calculate dst

Consider the geometric process s and calculate dst

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Reference no: EM131104962

Let H be a Wiener process. Consider the geometric process S again:

(a) Calculate dSt.
(b) What is the "expected rate of change" of St?
(c) If the exponential term in the definition of St, did not contain the 1/2σ2t term, what would be the dSt? What would then be the expected change inSt?

Reference no: EM131104962

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Consider the geometric process s and calculate dst

Reference no: EM131104962

Reference no: EM131104962

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