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only a is ok a) Indicate for each of the following statements about a general financial market whether it is true or false (answer only
only a is ok
a) Indicate for each of the following statements about a general financial market whether it is true or false (answer only is sufficient): * If there exists a martingale measure, there exists no arbitrage portfolio * If the market is free of arbitrage and there exists a claim that can be replicated, then the market is complete. * If there exists no claim that cannot be replicated, then a mar- tingale measure must be unique if it exists. b) Set up a general one-period binomial model (i.e. specify its compo- nents); this includes specifying conditions on its parameters which guarantee that the model is free-of-arbitrage. c) Show that the model set out in b) is free-of-arbitrage. If you quote general results you must show the parts of these results that you use. d) Show that the model set out in b) is complete. If you quote general results you must show the parts of these results that you useStep by Step Solution
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