3. Prove that for any predictable sequence =(n)n=0,...,N , with values in Rd+1 and any real number...
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3. Prove that for any predictable sequence Á=(Án)n=0,...,N , with values in Rd+1 and any real number V0, there exists a self-nancing strategy ˆÁ
such that
ˆÁn.SW n =V0 +
Xn j=1
Áj .¢SW j , n=0, . . . ,N.
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Related Book For
Introduction To Stochastic Calculus Applied To Finance
ISBN: 9781584886266
2nd Edition
Authors: Damien Lamberton, Bernard Lapeyre
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