New answers tagged

1

You can transform your process to the following: $$dX_t= \left[(\mu-\frac{1}{2}\sigma^2) /X_t\right] \times X_t \times dt + (\frac{\sigma}{Xt}) \times X_t \times dW_t$$ So the market price of risk is equal to: ((mu-square(sigma)/2) /Xt)-r/(sigma/Xt)=((mu-square(sigma)/2)- (r * Xt))/sigma $$(\mu-\sigma^2/2- r X_t)/\sigma$$ if you are looking for a risk ...


Top 50 recent answers are included