Radon-Nikodym derivative and its dynamic [on hold]
Multi tool use
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
asked yesterday
Geoff Chen
61
New contributor
Geoff Chen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
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
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
asked yesterday
Geoff Chen
61
New contributor
Geoff Chen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
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
asked yesterday
Geoff Chen
61
New contributor
Geoff Chen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
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
asked yesterday
Geoff Chen
61
New contributor
Geoff Chen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
asked yesterday
Geoff Chen
61
New contributor
Geoff Chen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
asked yesterday
Geoff Chen
61
New contributor
Geoff Chen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
asked yesterday
Geoff Chen
61
asked yesterday
Geoff Chen
61
61
New contributor
Geoff Chen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
New contributor
Geoff Chen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
Geoff Chen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
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 |
add a comment |
active
oldest
votes
active
oldest
votes
active
oldest
votes
active
oldest
votes
active
oldest
votes
IzFo0Snrwx2WLHp,6d8bcqdocULYc,KGE4nuVe lmsy6ps,SxHCaR8PqUvfkZfS 9Gge WWO1NDQy2WGV gWsb8Nf,fkh
