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Given That dYt=bdWtd Y _ { t } = b d W _ { t }

Question 3

Multiple Choice

Given that dYt=bdWtd Y _ { t } = b d W _ { t } and Xt=eYtX _ { t } = e ^ { Y t } , what is dXtd X _ { t } ?


A) ebdWte ^ { b d W _ { t } }
B) Xteb2dt+YtdWtX _ { t } e ^ { b ^ { 2 } dt + Y _ { t } d W _ { t } }
C) ln(Xt) [12b2dt+bdWt]\ln \left( X _ { t } \right) \left[ \frac { 1 } { 2 } b ^ { 2 } d t + b d W _ { t } \right]
D) bXt[12bdt+dWt]b X _ { t } \left[ \frac { 1 } { 2 } b d t + d W _ { t } \right]

Correct Answer:

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