3701随机过程中等derivationmedium
Linear Desk PnL Drift Target from a Shared Driver
题目
Under P, dX_t = 0.8dt + 0.4dW_t and dY_t = 0.3dt + 0.2dW_t share the same Brownian motion. Let L_t = 2X_t + 1Y_t. If Q is chosen so that L has drift 0.6 under Q, what theta is required and what is the resulting Q-drift of X?
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你的答案
theta
X drift