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solution to Q2.29

PostPosted: Sun Dec 03, 2017 6:21 pm
by ytbwd

I am really confused what mean reversion stock model going to look like in the risk neutral measure.
Suppose on normal measure, the dynamics of S is dS=a(u-S)dt+vol*SdW (proposed on solution). To make S/B to be martingale under risk neutral, what is the relation going to be between W and W~(W~ is a Brownian Motion under risk neutral).