Suppose that the market is incomplete, so that there exist elements of (mathscr{K}^{+})that are not contained in
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Suppose that the market is incomplete, so that there exist elements of \(\mathscr{K}^{+}\)that are not contained in \(\bigcup_{x \in \mathbb{R}_{+}} \mathscr{C}_{0}^{+}(x)\). Show that the arbitrage free price of an attainable consumption process \(c \in \bigcup_{x \in \mathbb{R}_{+}} \mathscr{C}_{0}^{+}(x)\) is uniquely defined, regardless of the specific risk neutral probability measure \(\mathbb{P}^{*}\) chosen.
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Financial Markets Theory Equilibrium Efficiency And Information
ISBN: 9781447174042
2nd Edition
Authors: Emilio Barucci, Claudio Fontana
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