Does anyone know how to get the integration of the SDE below (Assume $\sigma \to 0$)?
$$\dfrac{\mathrm dS_t}{S_t}=(r_d-r_f)\mathrm dt+\sigma(t, S_t)\mathrm dW_t$$
Thank you in advance!
2026-03-25 09:44:45.1774431885
SDE Integration
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If we assume $\sigma = 0$ then we will simply have an ODE : $S_t = S_0\exp((r_d - r_f)t)$. We will need more information on the volatility of the FX rate (i.e. local vol, stochastic vol)?
Thanks.