16 19 Consider the model dSt SStdt YtS t dBt dYt Y Ytdt YtdWt, with (0, 1 , and correlated Brownian motions with coefficient Show that, if we take the parameters in the model as y 2 and 2, S 0, we can write the model above as dSt ytS t dWt dyt ytdZt

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Question: 16.19 Consider the model dSt = SStdt + #YtS t dBt dYt = Y Ytdt + YtdWt, with (0, 1], and correlated Brownian

16.19 Consider the model dSt = μSStdt + #YtSβ

t dBt dYt = μY Ytdt + ξYtdWt, with β ∈ (0, 1], and correlated Brownian motions with coefficient ρ. Show that, if we take the parameters in the model as μy = α2 and ξ = 2α, μS = 0, we can write the model above as dSt = ytSβ

t dWt dyt = αytdZt.

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