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Let a market model with risky asset (Sn) and riskless asset (Br) be given. Let P denote the set of equivalent martingale measures. Prove
Let a market model with risky asset (Sn) and riskless asset (Br) be given. Let P denote the set of equivalent martingale measures. Prove that if P contains more than one element, then there is infinitely many equivalent martingale measures.
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Financial and Managerial Accounting
Authors: Jerry J. Weygandt, Paul D. Kimmel, Donald E. Kieso
2nd edition
978-1119036357, 1119036356, 1118338413, 1118334264, 978-1118338414, 978-1118334263
