The variable S is an investment asset providing income at rate q measured in currency A. It
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The variable S is an investment asset providing income at rate q measured in currency A. It follows the process dS=usSdt+oss 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.
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