Exercise 14.4 Let (t) and (t) be the number of security S(t) and that of derivative C(t),

Exercise 14.4 Let α(t) and β(t) be the number of security S(t) and that of derivative C(t), respectively, possessed at time t. Under the self-financing assumption (see Definition 14.1), we have

Prove that Equation (14.19) holds.

Transcribed Image Text:

dWa(t)dS+(t)dC.