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How to show that P is a pricing measure? Consider a general one-period finite model and assume that P and Q are pricing measures. Let

How to show that P is a pricing measure?

 

Consider a general one-period finite model and assume that P and Q are pricing measures. Let a = (0, 1) be given and define P: > R by (w) = a + (1 a)Q(w) for all w N. Show that P is a pricing measure.

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