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Problems and Solutions in Mathematical Finance: Stochastic Calculus, Volume I by Eric Chin, Sverrir Olafsson, Dian Nel

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  1. 5. Let c03-math-945 be a probability space. We consider three assets with prices c03-math-946, c03-math-947 and c03-math-948 satisfying the SDEs
    equation

    where c03-math-949, c03-math-950, c03-math-951, c03-math-952, c03-math-953, c03-math-954 are constants and c03-math-955, c03-math-956, are standard Wiener processes with correlations , and for

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