Consider the two GBMs which are driven by the same standard Wiener process. - Find the stochastic
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Consider the two GBMs
which are driven by the same standard Wiener process.
- Find the stochastic differential equation for the process
- Imagine a Finnish investor, whose home currency is EUR, investing on the US stock market. The stock price in EUR is the product of the stock price in USD and the exchange rate between the two currencies. Would you use the above model in this case? Why or why not?
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Related Book For 
An Introduction To Financial Markets A Quantitative Approach
ISBN: 9781118014776
1st Edition
Authors: Paolo Brandimarte
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