e consider two assets
and
that are acceptable as numeraires (see
(
Suitable_numeraire
))
for some
.
The drift term
is absent because
is a martingale in the
measure.
Also,
for some
.
We regard these last SDEs as
and
for
.
We derive the connection between
and
as
follows:
Hence,
and
It remains to find the expression for
.
We use the formula (
Useful
formula
):
Hence,
and we conclude
that
