3611随机过程中等derivationmedium
Discounted GBM Dynamics
题目
A GBM satisfies dS_t = 0.05 S_t dt + 0.2 S_t dW_t. Define Y_t = e^{-0.05 t} S_t. What SDE does Y_t satisfy?
解题计时
0:00
提交作答时记录，用于后续平均用时统计。
题目
A GBM satisfies dS_t = 0.05 S_t dt + 0.2 S_t dW_t. Define Y_t = e^{-0.05 t} S_t. What SDE does Y_t satisfy?
解题计时
0:00
提交作答时记录，用于后续平均用时统计。