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0
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1answer
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Change option B&S pricing
Consider a market composed by two stocks whose prices $X$ and $Y$ are given by B&S diffusion
$$dX_t= \mu X_t dt+ \sigma X_tdW_t$$
$$dY_t= \mu Y_t dt+ \sigma Y_tdB_t$$
Supposing the market is ...
4
votes
3answers
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Is it possible to demonstrate that one pricing model is better than another?
Take the classic GBM (geometric Brownian motion) model for equities as an example:
ds = mu * S * dt + sigma * S * dW.
It is the basis for the classic ...
