9. Given that stock prices follow a risk-neutral geometric Brownian motion, i.e., dS = wr...

9. Given that stock prices follow a risk-neutral geometric Brownian motion, i.e., dS = write down the volatility for a put option's instantaneous return. Denote the put as a function P(S,t).

Remark The instantaneous return on the put refers to the quantity dP/P. The volatility of this term is the coefficient on the Brownian process. For example, if dS_t = for some the volatility of the instantaneous return on S is