quotes Joined 6/11/10 Messages 189 Points 28 3/18/12 #1 I felt unreasonable to use Girsanov to undrift a mean-reverting asset price. Suppose you have a GBM asset and a mean-reverting asset with the same volatility. Do the same option with these two assets as underlying share the same price? Why & Why not?
I felt unreasonable to use Girsanov to undrift a mean-reverting asset price. Suppose you have a GBM asset and a mean-reverting asset with the same volatility. Do the same option with these two assets as underlying share the same price? Why & Why not?
