Exercise 6.6 Prove that there are no arbitrage opportunities in the securities market considered in Exercise 6.1.
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Exercise 6.6 Prove that there are no arbitrage opportunities in the securities market considered in Exercise 6.1. Obtain the option premium for a call option written on the security S1(1) with strike price K = 5.2 and maturity T = 1.
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Stochastic Processes With Applications To Finance
ISBN: 9781439884829
2nd Edition
Authors: Masaaki Kijima
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