Question
For a multidimensional market model, we have 3 stocks, each with a stochastic differential dS i (t) = i (t)S i (t)dt + S i
For a multidimensional market model, we have 3 stocks, each with a
stochastic differential
dS i (t) = i (t)S i (t)dt + S i (t)
3
X
j=1
ij dW j (t)
where i (t) is an adapted process and ij is constant for all i,j. Does
this market have a risk-neutral probability measure, and if so what is
it (how do we get it)?
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Personal Finance
Authors: Jack Kapoor, Les Dlabay, Robert J. Hughes
11th edition
9781259278617, 77861647, 1259278611, 978-0077861643
