Suppose the set of risk neutral measures for a given securities model is nonempty. Show that if

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Suppose the set of risk neutral measures for a given securities model is nonempty. Show that if the securities model is complete, then the set of risk neutral measures must be singleton.

Under market completeness, column rank of Ŝ (1; Ω) equals number of states. Since column rank = row rank, all rows of Ŝ^∗(1; Ω) are independent.

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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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Suppose the set of risk neutral measures for a given securities model is nonempty. Show that if

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To show that if the securities model is complete then the set of riskneutral measures must be a singleton we can use the concept of market completenes...View the full answer

Mathematical Models Of Financial Derivative

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