The prices X, and Y, of two assets evolve according to the Black Scholes models dX aXidt BX dw(), dY YYdt 8Y,dw,(2) where W) and W2) are independent Brownian motions Find the dynamic of the price of an option having the following expression f(t, X,Y) (X) X,Y, Kt where K is a positive constant The ...

To find the dynamic of the price of the option we need to apply Itos lemma to the function ft X Y X ...

The prices X, and Y, of two assets evolve according to the Black & Scholes models...

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The prices X, and Y, of two assets evolve according to the Black & Scholes models dX = aXidt + BX,dw(), dY =

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The prices X, and Y, of two assets evolve according to the Black & Scholes models...

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