Thanks for the replies.
I'm still a bit confused here:
ASET solution to April 2011 Q10 integrates the following expression:
d(r_s.exp(as)) = a b exp(as) ds + sigma exp(as) dW_s
But here s is included in all terms of the equation, so why is it ok to integrate each of those separately but not what I wrote above? I'm not doubting your replies - I'm I'm just a bit confused that's all!
Thanks
Last edited by a moderator: Sep 8, 2013