Prove Proposition 6.22. Proposition 6.22 Let P* be a risk neutral probability measure for (S,D). Then, for
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Prove Proposition 6.22.
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Proposition 6.22 Let P* be a risk neutral probability measure for (S,D). Then, for allt {0,1,..., T-1}, it holds that T 5 = s=1+1 As a consequence, the process for all n = 0, 1,..., N. (6.53) [] (,)., =0,1,....T is a martingale under the probability measure P*, for all n = 0, 1, ..., N. Moreover, for any trading-consumption strategy (0, c) = (xo) and for all s, t = {0,1,..., T} with s
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Financial Markets Theory Equilibrium Efficiency And Information
ISBN: 9781447174042
2nd Edition
Authors: Emilio Barucci, Claudio Fontana
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