Let S(t) be the price of dollar at time t, i.e. the number of euros per...
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Let S(t) be the price of dollar at time t, i.e. the number of euros per dollar. The ds(t) µdt + odW(t) for a s(t) behavior of S(t) through time is modeled by standard Brownian motion and real value u and o> 0. Now, let U (t) the exchange rate of euro against the dollar. Show that U(t) satisfies the following stochastic differential equation. dU (t) U (t) = (0²-µ)dt- odW(t) 1 s(t) be Let S(t) be the price of dollar at time t, i.e. the number of euros per dollar. The ds(t) µdt + odW(t) for a s(t) behavior of S(t) through time is modeled by standard Brownian motion and real value u and o> 0. Now, let U (t) the exchange rate of euro against the dollar. Show that U(t) satisfies the following stochastic differential equation. dU (t) U (t) = (0²-µ)dt- odW(t) 1 s(t) be
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