Radon-Nikodym derivative and its dynamic [on hold]
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Let the process $S_{t}$ under the historical measure P be as following
$$dS_{t}=mu S_{t}dt+V_{t}S_{t}dW_{t}^{1}$$
$$dV_{t}=(a+d-bV_{t})dt+sigma(rho dW_{t}^{1}+sqrt{1-rho^2}dW_{t}^{2})$$
Let Q be risk-neutral measure
$$dS_{t}=r S_{t}dt+V_{t}S_{t}dhat{W}_{t}^{1}$$
$$dV_{t}=(a-bV_{t})dt+sigma(rho dhat{W}_{t}^{1}+sqrt{1-rho^2}d hat{W}_{t}^{2})$$
Find the $L_{t}=frac{dQ}{dP}$? And also find the dynamic of $L_{t}$.
stochastic-processes radon-nikodym
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put on hold as off-topic by TheGeekGreek, 5xum, Davide Giraudo, Jens, Scientifica yesterday
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Let the process $S_{t}$ under the historical measure P be as following
$$dS_{t}=mu S_{t}dt+V_{t}S_{t}dW_{t}^{1}$$
$$dV_{t}=(a+d-bV_{t})dt+sigma(rho dW_{t}^{1}+sqrt{1-rho^2}dW_{t}^{2})$$
Let Q be risk-neutral measure
$$dS_{t}=r S_{t}dt+V_{t}S_{t}dhat{W}_{t}^{1}$$
$$dV_{t}=(a-bV_{t})dt+sigma(rho dhat{W}_{t}^{1}+sqrt{1-rho^2}d hat{W}_{t}^{2})$$
Find the $L_{t}=frac{dQ}{dP}$? And also find the dynamic of $L_{t}$.
stochastic-processes radon-nikodym
New contributor
put on hold as off-topic by TheGeekGreek, 5xum, Davide Giraudo, Jens, Scientifica yesterday
This question appears to be off-topic. The users who voted to close gave this specific reason:
- "This question is missing context or other details: Please improve the question by providing additional context, which ideally includes your thoughts on the problem and any attempts you have made to solve it. This information helps others identify where you have difficulties and helps them write answers appropriate to your experience level." – TheGeekGreek, 5xum, Davide Giraudo, Jens, Scientifica
If this question can be reworded to fit the rules in the help center, please edit the question.
add a comment |
up vote
1
down vote
favorite
up vote
1
down vote
favorite
Let the process $S_{t}$ under the historical measure P be as following
$$dS_{t}=mu S_{t}dt+V_{t}S_{t}dW_{t}^{1}$$
$$dV_{t}=(a+d-bV_{t})dt+sigma(rho dW_{t}^{1}+sqrt{1-rho^2}dW_{t}^{2})$$
Let Q be risk-neutral measure
$$dS_{t}=r S_{t}dt+V_{t}S_{t}dhat{W}_{t}^{1}$$
$$dV_{t}=(a-bV_{t})dt+sigma(rho dhat{W}_{t}^{1}+sqrt{1-rho^2}d hat{W}_{t}^{2})$$
Find the $L_{t}=frac{dQ}{dP}$? And also find the dynamic of $L_{t}$.
stochastic-processes radon-nikodym
New contributor
Let the process $S_{t}$ under the historical measure P be as following
$$dS_{t}=mu S_{t}dt+V_{t}S_{t}dW_{t}^{1}$$
$$dV_{t}=(a+d-bV_{t})dt+sigma(rho dW_{t}^{1}+sqrt{1-rho^2}dW_{t}^{2})$$
Let Q be risk-neutral measure
$$dS_{t}=r S_{t}dt+V_{t}S_{t}dhat{W}_{t}^{1}$$
$$dV_{t}=(a-bV_{t})dt+sigma(rho dhat{W}_{t}^{1}+sqrt{1-rho^2}d hat{W}_{t}^{2})$$
Find the $L_{t}=frac{dQ}{dP}$? And also find the dynamic of $L_{t}$.
stochastic-processes radon-nikodym
stochastic-processes radon-nikodym
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asked yesterday
Geoff Chen
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put on hold as off-topic by TheGeekGreek, 5xum, Davide Giraudo, Jens, Scientifica yesterday
This question appears to be off-topic. The users who voted to close gave this specific reason:
- "This question is missing context or other details: Please improve the question by providing additional context, which ideally includes your thoughts on the problem and any attempts you have made to solve it. This information helps others identify where you have difficulties and helps them write answers appropriate to your experience level." – TheGeekGreek, 5xum, Davide Giraudo, Jens, Scientifica
If this question can be reworded to fit the rules in the help center, please edit the question.
put on hold as off-topic by TheGeekGreek, 5xum, Davide Giraudo, Jens, Scientifica yesterday
This question appears to be off-topic. The users who voted to close gave this specific reason:
- "This question is missing context or other details: Please improve the question by providing additional context, which ideally includes your thoughts on the problem and any attempts you have made to solve it. This information helps others identify where you have difficulties and helps them write answers appropriate to your experience level." – TheGeekGreek, 5xum, Davide Giraudo, Jens, Scientifica
If this question can be reworded to fit the rules in the help center, please edit the question.
add a comment |
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