3. Consider the following market model for three assets: dB. = Birdt. ds! = S}(andt + odw!), do? = $7 (undt + 02(pdW) + v1 - padw?)), where r, /1, /42, 01,02 > 0, and pe (-1, 1) are constants and WI and Ware two independent Brownian motions. (a) Write down the dynamics in a vector-matrix form. (b) Construct an equivalent risk-neutral measure Q) for this market model. Is it unique? (c) Derive the PDE for the pricing function F(t, $1, $2) for the exchange option ($4 - $3) +. (5 + 15 + 15 = 35 points)