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Let the market model be: dS1/Si dS2/S2 dS3/S3 - C: 0.05 0.06 0.01 dt +0.1 1 3 1 -1 3 - 3 1 13 -5
Let the market model be: dS1/Si dS2/S2 dS3/S3 - C: 0.05 0.06 0.01 dt +0.1 1 3 1 -1 3 - 3 1 13 -5 1 5 -1 dW1 dW2 d3 dW4 Is there arbitrage in the model? Is the market complete? Discuss. Let the market model be: dS1/Si dS2/S2 dS3/S3 - C: 0.05 0.06 0.01 dt +0.1 1 3 1 -1 3 - 3 1 13 -5 1 5 -1 dW1 dW2 d3 dW4 Is there arbitrage in the model? Is the market complete? Discuss
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