Consider the following arbitrage-free market

S0=(1,c),D=[ 1 1 1

140 110 80]

D is a matrix that I've tried to show.

(a) (5 points) How many are the primary assets of the market and how many are the states of the world?Is the market complete?

(b) (6 points) IfC0=70/3andP0=10/3are arbitrage-free prices for a call and a put33

option with exercise priceK= 100 respectively. Findc.

(c) (6 points) IfC0= 50 is an arbitrage-free price for a call option with exercise price

K= 70. Findc.

(d) (8 points) If= 10 is an arbitrage-free price for a contingent claim with payoff X = (15,12,9) at time T. Find c.

X= (15,12,9) at timeT. Findc.