3696随机过程中等derivationlong
Second Factor Drift After Neutralizing the First Carry
题目
Under P, two processes share the same Brownian driver: dX_t = 1.2dt + 0.6dW_t and dY_t = 0.5dt + 0.25dW_t. If Q is chosen so that X has drift 0.3 under Q, what drift does Y have under Q?
解题计时
0:00
提交作答时记录，用于后续平均用时统计。
你的答案