12. Suppose that S1 follows equation (26) with = 0. Consider an asset that follows the...
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12. Suppose that S1 follows equation (26) with δ = 0. Consider an asset that follows the process dS2 = α2S2 dt − σ2S2 dZ Show that (α1 − r)/σ1=−(α2 − r)/σ2. (Hint: Find a zero-investment position in S1 and S2 that eliminates risk.)
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Related Book For 
Derivatives Markets Pearson New International Edition
ISBN: 978-1292021256
3rd Edition
Authors: Robert L. Mcdonald
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