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