Question: Exercise 14.1 Suppose that S0(t) > 0 with S0(0) = 1, and it pays no dividends. Let S i (t) = Si(t)/S0(t), i = 1,

Exercise 14.1 Suppose that S0(t) > 0 with S0(0) = 1, and it pays no dividends.

Let S∗

i (t) = Si(t)/S0(t), i = 1, 2, . . . , n, and so forth. Confirm that, for any self-financing portfolio {(t)}, the denominated value process is given by

n t (s)dG(s), 0

where

n t (s)dG(s), 0

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