Benninga, Simon (contributor); Björk, Tomas (contributor); … - 2001 - [Elektronische Ressource]
changed.
As for the Q-dynamics of the stock price, standard theory immediately gives us
dS
t
=(r
t
− )S
t
dt + S
t
dW
B
t … Y . Standard theory then
gives us the Q
f
dynamics of Y as
dY
t
= Y
t
(r
f
− r
d
)dt + Y
t
Y
dW
t
: (15)
For … note that economic theory does not say anything about
the mean inflation rate
I
under Q
f
.
When computing the …