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How to price an option with underlying mean-reverting?

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Joined
6/11/10
Messages
189
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28
I felt unreasonable to use Girsanov to undrift a mean-reverting asset price.

Suppose you have a GBM asset and a mean-reverting asset with the same volatility.

Do the same option with these two assets as underlying share the same price? Why & Why not?
 
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