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Quiz · Ch.6
Immediate feedback after each question. Best score is stored locally.
Question 1 / 1
Geometric Brownian motion
d
S
=
μ
S
d
t
+
σ
S
d
B
dS=\mu S\,dt+\sigma S\,dB
d
S
=
μ
S
d
t
+
σ
S
d
B
has solution involving:
Only
μ
t
\mu t
μ
t
An exponential of BM with Itô correction
−
1
2
σ
2
t
-\tfrac12\sigma^2 t
−
2
1
σ
2
t
A Poisson jump only
Finite variation drift alone
Check answer
x
x
x