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Consider the risk-neutralized processes of the price of two stripped-.pdf

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Consider the risk-neutralized processes of the price of two stripped-dividend assets: dS^1/S^1=rtdt+1dW1(t),dS^2/S^2=rtdt+2dW2(t), where dW1dW2=dt, and rt may follow some stochastic process. a. (4) What kind of process does S^1/S^2 follow under the risk neutral measure? b. (4) Can you define a new measure under which S^1/S^2 is a martingale? c. (4) Express the Radon-Nikodym derivative in terms of the asset prices. d. (4) Price the exchange option with payoff VT=(S1(T)S2(T))+..

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Consider the risk-neutralized processes of the price of two stripped-dividend assets: dS^1/S^1=rtdt+1dW1(t),dS^2/S^2=rtdt+2dW2(t), where dW1dW2=dt, and rt may follow some stochastic process. a. (4) What kind of process does S^1/S^2 follow under the risk neutral measure? b. (4) Can you define a new measure under which S^1/S^2 is a martingale? c. (4) Express the Radon-Nikodym derivative in terms of the asset prices. d. (4) Price the exchange option with payoff VT=(S1(T)S2(T))+.

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