Quanto: Assume there is one foreign asset St and the exchange rate Xt (\$local per unit of foreign currency), where Stdst=dt+dWs. The correlation between St and Xt is , i.e. if W1 and W2 are independent BMs, the correlated BMsWs and Wx are given by: Ws=W1,Wx=W1+12W2 We know that the risk-neutral process for Xt is dXt=Xt(rrf)dt+XtxdWx. Further assuming a domestic money market account t=exp(0tr(s)ds) and a foreign money market account f=exp(0trf(s)ds) ? What is such that the asset process in domestic currency, i.e. G=SX is a martingale