Question
Consider a single-period market model with a risk-free asset B, such that B0=10 and B1=11, and a risky asset, the price of which can follow
Consider a single-period market model with a risk-free asset B, such that B0=10 and B1=11, and a risky asset, the price of which can follow three possible scenarios: W1: S0=50 and S1=70, W2: S0=50 and S1=55, W3: S0=50 S1=40.
Show that the model admits no arbitrage opportunities
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The Handbook Of Traditional And Alternative Investment Vehicles Investment Characteristics And Strategies
Authors: Mark J. P. Anson, Frank J. Fabozzi, Frank J. Jones
1st Edition
0470609737, 978-0470609736
