Show that when w=h/g and h and g are each dependent on n Wiener processes, the ith component of the volatility of w is the ith component of the volatility of h minus the ith component of the volatility of g. (Hint: Start by using equation (13A.11) to get the processes for In f and Ing.)27.10. The variable S is an investment asset providing income at rate q measured in currency A. It follows the process dS = sSdt +S dz in the real world. Defining new variables as necessary, give the process followed by S, and the corresponding market price of risk, in:

(a) A world that is the traditional risk-neutral world for currency A

(b) A world that is the traditional risk-neutral world for currency B

(c) A world that is forward risk neutral with respect to a zero-coupon currency A bond maturing at time T

(d) A world that is forward risk neutral with respect to a zero coupon currency B bond maturing at time T. P-987