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    Brownian motion process

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    if S follows the geometric Brownian motion process in equation dS/S = ? dt + ? dz ,
    What is the process followed by:
    a) y= 2S
    b) y= S^2
    c) y= e^S
    d) y= e^(r(T-t))/ S

    in each case express the coefficient of dt and dz in terms of y rather than S.

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    Solution Summary

    This solution helps answer questions regarding the geometric Brownian motion process.