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If someone wants simple intuition, here is what happened to the drift. It did go into the formula, believe it or not, but it came into the B-S math sort of in two ways so it cancelled out in the end. It disappears because Black-Scholes assumes people may have different preferences for risk, but at least everyone is consistent on their own preference. ...


The error is in the application of Girsanov theorem. We have multivariate Black-Sholes market, however I apply one-dimensional Girsanov theorem. I should apply multi-dimensional Girsanov theorem. Then there would be now such equations, except the case for $\rho=1$. The alike task is formulated here ...

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