Question: Consider a market (Xo(t), X(t)) E R2 where dXo(t)-(t)dt ; Xp(0) = 1 > 0 constant ). Find the price EQl(T)F of the European T-claim

Consider a market (Xo(t), X(t)) E R2 where dXo(t)-(t)dt ; Xp(0)

Consider a market (Xo(t), X(t)) E R2 where dXo(t)-(t)dt ; Xp(0) = 1 > 0 constant ). Find the price EQl(T)F of the European T-claim F(u) B(T,u) and find the corresponding replicating portfolio (t)-(Bo(t),0,(t)) in the following cases a) dXi(t) = (t)dt + Xi(t)dB(t); , constants, 0 b) dX1(t)- cdB(t); cf0 constant c) dx, (t)- (t)dt + dB(t) ; , constants, 0. Consider a market (Xo(t), X(t)) E R2 where dXo(t)-(t)dt ; Xp(0) = 1 > 0 constant ). Find the price EQl(T)F of the European T-claim F(u) B(T,u) and find the corresponding replicating portfolio (t)-(Bo(t),0,(t)) in the following cases a) dXi(t) = (t)dt + Xi(t)dB(t); , constants, 0 b) dX1(t)- cdB(t); cf0 constant c) dx, (t)- (t)dt + dB(t) ; , constants, 0

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