(1 + r)n +HnSn =c(n, Sn). Since H0n and Hn are Fn1-measurable, they are functions of S1,...

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(1 + r)n +HnSn =c(n, Sn).

Since H0n and Hn are Fn−1-measurable, they are functions of S1, . . . , Sn−1 only and, since Sn is equal to Sn−1d or Sn−1u, the previous equality implies H0n

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Introduction To Stochastic Calculus Applied To Finance

ISBN: 9781584886266

2nd Edition

Authors: Damien Lamberton, Bernard Lapeyre

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Question Posted: Oct 26, 2024 06:01 AM

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(1 + r)n +HnSn =c(n, Sn). Since H0n and Hn are Fn1-measurable, they are functions of S1, . . . , Sn1 only and, since Sn is equal to Sn1d or Sn1u, the previous equality implies H0n
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(1 + r)n +HnSn =c(n, Sn). Since H0n and Hn are Fn1-measurable, they are functions of S1,...

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Introduction To Stochastic Calculus Applied To Finance

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