Quiz 20-3:

You are given two nondividend paying asset X(t) and Y(t) satisfying the following stochastic differential equations:

dX(t)=0.15X(t)dt+0.2X(t)dZ(t)
dY(t)=0.0975Y(t)dt-0.15Y(t)dZ(t)

Determine the continuous compounded risk-free rate.

Solution:

(0.15-r)/0.2=(0.0975-r)/(-0.15)

So r=0.12

我是除0.15,认为volatility为正，为啥不对呀？ 请牛人指点；