Question: The variable S is an investment asset providing income at rate measured in currency A. It follows the process dS = S S dt

The variable S is an investment asset providing income at rate  measured in currency A. It follows the process

dS = μSS dt + σSS dz

in the real world. Defining new variables as necessary, give the process followed by S, and the corresponding market price of risk, in

(a) A world that is the traditional risk-neutral world for currency A. 

(b) A world that is the traditional risk-neutral world for currency B. 

(c) A world defined by a numeraire equal to a zero-coupon currency A bond maturing at time T.

(d) A world defined by a numeraire equal to a zero coupon currency B bond maturing at time T.

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