Given the representation: can you determine the g (), if the MT (XT) is the payoff of
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can you determine the g (·), if the MT (XT) is the payoff of a plain vanilla European call option at expiration? That is, if MT(XT) is given by:
MT (XT) = max [XT ˆ’ K, 0]
where 0
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In theory the representation is possible The difficulty is that X t S t may not be a martingale ...View the full answer
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Related Book For 
An Introduction to the Mathematics of Financial Derivatives
ISBN: 978-0123846822
3rd edition
Authors: Ali Hirsa, Salih N. Neftci
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