Let d2d2 be a natural number, and let (,F,P,,S)(,F,P,,S) be an arbitrage-free one-period market model with dd risky assets (and as usual one risk-free asset with interest rate rr). Which of the following statements is NOT true?

Select one:

a.

Suppose a derivative CC is added to the market, which is given by the formula C:=di=0iSiC:=i=0diSi for some arbitrary but fixed real numbers i0i0. Then the extended market model with Sd+1:=CSd+1:=C and d+1:=di=0iid+1:=i=0dii is also arbitrage-free.

b.

If one of the risky assets is removed from the model, the resulting one-period model stays arbitrage-free.

c.

Suppose a derivative CC is added to the market, which is given by the formula C:=di=0SiC:=i=0dSi. Then the extended market model with Sd+1:=CSd+1:=C and d+1:=di=0id+1:=i=0di is also arbitrage-free.

d.

If P:F[0,1]P:F[0,1] is another probability measure with PPPP, then (,F,P,,S)(,F,P,,S) is also an arbitrage-free market model.

Let d > 2 be a natural number, and let (12, F, P, T, 5) be an arbitrage-free one period market model with d risky assets (and as usual one risk-free asset with interest rate r). Which of the following statements is NOT true? Select one: O a. Suppose a derivative C is added to the market, which is given by the formula C := -ot;S; for some arbitrary but fixed real numbers di > 0. Then the extended market model with Sd+1:= C and 7d+1:= Dolin is also arbitrage-free. O b. If one of the risky assets is removed from the model, the resulting one-period model stays arbitrage-free. OC. Suppose a derivative C is added to the market, which is given by the formula C := noSi. Then the extended market model with Sd+1:= Cand 7d+1:= 1_07i is also arbitrage-free. O d. If P': [ + (0,1) is another probability measure with PP', then (12,F,P',T, S) is also an arbitrage-free market model. Let d > 2 be a natural number, and let (12, F, P, T, 5) be an arbitrage-free one period market model with d risky assets (and as usual one risk-free asset with interest rate r). Which of the following statements is NOT true? Select one: O a. Suppose a derivative C is added to the market, which is given by the formula C := -ot;S; for some arbitrary but fixed real numbers di > 0. Then the extended market model with Sd+1:= C and 7d+1:= Dolin is also arbitrage-free. O b. If one of the risky assets is removed from the model, the resulting one-period model stays arbitrage-free. OC. Suppose a derivative C is added to the market, which is given by the formula C := noSi. Then the extended market model with Sd+1:= Cand 7d+1:= 1_07i is also arbitrage-free. O d. If P': [ + (0,1) is another probability measure with PP', then (12,F,P',T, S) is also an arbitrage-free market model