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Dynamics of the Ratio S1/S2
Questions (1)
Consider the Black-Scholes-Merton model for two stocks:
dS1(t)=0.1S1(t)dt+0.2S1(t)dW1(t) dS2(t)=0.05S2(t)dt+0.1S2(t)dW2(t)
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RVE
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Black-Scholes-Merton Model
