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
 .
Hence,
and we conclude
that
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