M
mange
Member
Hi all,
Does anyone know why to work out the equation below? I've looked at it for a long time and couldn't figure out how to get to the second line. It comes from the solution of Q3 (iii).
dV(t) = d(e^rt*Ft) = re^rt*Ftdt + e^rt dFt
= re^rt*Ftdt + e^rt *OtdSt + re^rt (Ft - Ot*Dt) dt = OtdSt + ψt dBt.
Your help is much appreciated.
Thanks.
Does anyone know why to work out the equation below? I've looked at it for a long time and couldn't figure out how to get to the second line. It comes from the solution of Q3 (iii).
dV(t) = d(e^rt*Ft) = re^rt*Ftdt + e^rt dFt
= re^rt*Ftdt + e^rt *OtdSt + re^rt (Ft - Ot*Dt) dt = OtdSt + ψt dBt.
Your help is much appreciated.
Thanks.