How do we set up a multi dimensional black scholes equation, Ask an Expert

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How do we set up a multi dimensional Black scholes equation for an option depending on two uncorelated asset?

The first one is a stock that follows

ds = (mu)Sdt + (sigma)Sdx

The second one is a bond that follows

dS= (a - bS)dt + (sigma)(sqrt(1+(S- a/b)^2))dx

How does the ds of the bond affect the regular derivation of multi dimensional black scholes?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92821883

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