- #1
grossgermany
- 53
- 0
Suppose that A and B follow geometric brownian motion, where zA, and zB follow wiener process
dA/A=a*dt+b*dzA
dB/B=c*dt+d*dzB
dzA*dzB=e*dt
What stochastic process does A/B follow?
This is not a homework question(I am sure it's almost trivially easy to those who learned the stuff). I am very new to the stuff and would anyone be kind enough to show me the result and derivation?
I have browsed through textbooks yet none of them have a similar example.
dA/A=a*dt+b*dzA
dB/B=c*dt+d*dzB
dzA*dzB=e*dt
What stochastic process does A/B follow?
This is not a homework question(I am sure it's almost trivially easy to those who learned the stuff). I am very new to the stuff and would anyone be kind enough to show me the result and derivation?
I have browsed through textbooks yet none of them have a similar example.