Show that the process t T ,t 0, defined in (8.1.7), is a positive Q-martingale
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Show that the process ξtT,t ≥ 0, defined in (8.1.7), is a positive Q-martingale and the expectation of ξtT under Q is one. Here, Q is the risk neutral measure.
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The process t 0 defined in equation 817 is given by er ds t0 where r i...View the full answer
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