Construct a securities model such that it satisfies the law of one price but admits a dominant

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Construct a securities model such that it satisfies the law of one price but admits a dominant trading strategy.

Construct a securities model where the initial price vector lies in the row space of the discounted terminal payoff matrix Ŝ^∗(1) while the nonnegativity of the linear measure does not hold.

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Mathematical Models Of Financial Derivative

ISBN: 9783642447938

2nd Edition

Authors: Yue-Kuen Kwok

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Question Posted: Dec 02, 2023 03:16 AM

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Construct a securities model such that it satisfies the law of one price but admits a dominant

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Mathematical Models Of Financial Derivative

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