6. Show that the replicating strategy of a call is characterized by a quantity Hn =(n, Sn1)...

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6. Show that the replicating strategy of a call is characterized by a quantity Hn =¢(n, Sn−1) at time n, where ¢ will be expressed in terms of the function c.

We denote by H0n the number of riskless assets in the replicating portfolio.

We have 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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6. Show that the replicating strategy of a call is characterized by a quantity Hn =(n, Sn1)...

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Introduction To Stochastic Calculus Applied To Finance

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