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We have that \begin{equation} dS_t=\mu S_t dt + \sigma S_t dW_t \end{equation} Now apply Itô $$ d\log S_t= \frac{\partial\log S_t}{\partial t} +\frac{\partial \log S_t}{\partial S_t} dS_t + \frac12 \ …
answered Mar 30 '17 by NSZ