Suppose that a non-dividend stock price, S, is a geometric Brownian motion with expected return m and volatility : dS = mSdt+oSdBt What is the process of √S? (s.d.e. representation)

Algebra & Trigonometry with Analytic Geometry
13th Edition
ISBN:9781133382119
Author:Swokowski
Publisher:Swokowski
Chapter5: Inverse, Exponential, And Logarithmic Functions
Section5.3: The Natural Exponential Function
Problem 8E
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Suppose that a non-dividend stock price, S, is a geometric Brownian motion with expected
return m and volatility :
d.S mSdt+oSdBt
What is the process of √S? (s.d.e. representation)
-
Transcribed Image Text:Suppose that a non-dividend stock price, S, is a geometric Brownian motion with expected return m and volatility : d.S mSdt+oSdBt What is the process of √S? (s.d.e. representation) -
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