3706随机过程中等derivationmedium
Other Factor Drift After Making a Stock Discounted Price Driftless
题目
A traded underlier satisfies dS_t/S_t = 0.09dt + 0.25dW_t under P, while another factor satisfies dY_t = 0.2dt + 0.4dW_t with the same Brownian driver. If Q is chosen so the discounted stock has drift 0 at rate r = 0.03, what is the drift of Y under Q?
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