Question Answered step-by-step Consider the stochastic processes that we have studied in our… Consider the stochastic processes that we have studied in our lectures. a) Illustrate in detail the fundamental properties of a “generalized Wiener process”.[7 marks]b) Discuss the so-called “lognormal property” of stock prices.[10 marks]c) Consider a stock price S=S(t), a function G=G(S, t) of the stock price S and time t, and suppose that the stock price follows a geometric Brownian motion process. Provide the mathematical formulation and the financial interpretation of Itô’s lemma for the stochastic process followed by G=G(S, t). Math Statistics and Probability FINANCE N1559 Share QuestionEmailCopy link Comments (0)

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