uppose the economy has the two risky assets
given by the
SDEs
and the MMA
.
The
are standard Brownian motions. Similarly to the previous section we again
assume that
is deterministic and
.
Therefore, the price of the derivative
with the payoff
at
has the functional form
.
We construct the portfolio
and compute the
increment
Similarly to the previous section, set
then
or
We introduce the function
:
then
We compare the last result with the proposition
(
Multidimensional
backward Kolmogorov equation
) and
conclude
