Question
. Consider a market (X(t), X(t)) = R where dxo(t) = pxo(t)dt; Xo(0) 1 p>0 constant). Find the price EQ [(T)F] of the European
. Consider a market (X(t), X(t)) = R where dxo(t) = pxo(t)dt; Xo(0) 1 p>0 constant). Find the price EQ [(T)F] of the European T-claim F(w) = B(T,w) and find the corresponding replicating portfolio (t) = (00(t), 01(t)) in the following cases a) dX1(t) = ax1(t)dt + 3X1(t)dB(t); a, constants, 30 b) dX1(t) = cdB(t); c0 constant c) dX(t) = ax(t)dt+ dB(t); a, constants, #0.
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International Finance Theory and Policy
Authors: Paul R. Krugman, Maurice Obstfeld, Marc J. Melitz
10th edition
978-0133425895, 133425894, 978-0133423631, 133423638, 978-0133423648
