Show that a dominant trading strategy exists if and only if there exists a trading strategy satisfying V 0 1() 0 for all Consider the dominant trading strategy H (ho h hm) satisfying Vo 0 and V (0) 0 for all w 2 Take Gmin min G (w) 0 and define a new trading strategy with m M ho Gmin hm Sm(0) m 1 h...

Show that a dominant trading strategy exists if and only if there exists a trading strategy satisfying

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Show that a dominant trading strategy exists if and only if there exists a trading strategy satisfying V₀ 1(ω) ≥ 0 for all ω ∈ Ω.

Consider the dominant trading strategy H = (ho h ... hm) satisfying Vo = 0 and V (w) > 0 for all w 2. Take

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Mathematical Models Of Financial Derivative

ISBN: 9783642447938

2nd Edition

Authors: Yue-Kuen Kwok

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Show that a dominant trading strategy exists if and only if there exists a trading strategy satisfying

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Consider the dominant trading strategy H = (ho h₁ ... hm) satisfying Vo = 0 and V₁ (0) > 0 for all w€ 2. Take Gmin = min G* (w) > 0 @ and define a new trading strategy with ĥm M ho-Gmin-hm Sm(0). Σ m=1 = = hm, m = 1, ... " M and

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Mathematical Models Of Financial Derivative

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