For any financial engineers here who understand Hull's derivative pricing book. I've gone through chapter 12 (Wiener Processes and Ito's Lemma, 2008 edition).(adsbygoogle = window.adsbygoogle || []).push({});

The derivation of Ito's lemma assumes epsilon is normally distributed with a mean of zero and a variance of 1. I have a hard time filling in steps with this assumption.

Would the derivation also work if epsilon was a random variable that could take on only values of +1 or -1 with 50-50 probability? It would make the filling in steps much easier.

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# Finance engineering question

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