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how to combine three sdes
I am stuck on this---any ideas?Consider the standard GBM for the stock price with the interest rate and dividend rate following mean-reverting CIR processes. The 3 BMs (dZ's in the sdes) are correlated. The equations are shown below.Question: How do I get one sde for the stock price in the following format? BestReddy
Last edited by cgukhal on December 1st, 2008, 11:00 pm, edited 1 time in total.
