Derive the PDE in Exercise 15.11 by working under the risk-neutral probability corresponding to M. Use Girsanovs

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Derive the PDE in Exercise 15.11 by working under the risk-neutral probability corresponding to M. Use Girsanov’s theorem and the fact that the expected rate of return of the asset under the risk-neutral probability must be the risk-free rate.

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Asset Pricing And Portfolio Choice Theory

ISBN: 9780190241148

2nd Edition

Authors: Kerry E. Back

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Question Posted: Jul 22, 2024 03:04 AM

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Derive the PDE in Exercise 15.11 by working under the risk-neutral probability corresponding to M. Use Girsanovs

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Asset Pricing And Portfolio Choice Theory

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