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Math Help - Solving Correlated Stochastic Factor Model

  1. #1
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    Solving Correlated Stochastic Factor Model

    I would greatly appreciate if some of you could help me with a problem I encountered studying option pricing problems in finance. The problem essentially consists of calculating a payoff depending on two underlying stochastic processes, which in turn is a sum of a mean-reverting process and a standard Brownian motion. My probabilistic background is, unfortunately, too weak to solve problems like this one. I am sure this is easy for many of you. If possible, I would prefer a detailed derivation, so that I might have a chance at understanding what is going on. See enclosed file for problem formulation
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  2. #2
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    Re: Solving Correlated Stochastic Factor Model

    Any suggestions on how to attack this problem would be greatly appreciated
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