If S follows the geometric Brownian motion process in equation dS = Sdt + Sdz, what is the process followed by (a) (10 points) y = 2S (b) (10 points) y = S2 (c) (10 points) y = eS (d) (10 points) y = er(T t) S In each case, express the coefficients of dt and dz in terms of y rather than S. Note: volatility is non-negative.

1. If S follows the geometric Brownian motion process in equation dS = Sdt + Sdz, what is the
process followed by (a) (10 points) y = 2S (b) (10 points) y = S2 (c) (10 points) y = eS (d) (10
points) y = er(T t) S In each case, express the coefficients of dt and dz in terms of y rather than S.
Note: volatility is non-negative