Sep 25, 2017 term paper 2

CONSIDER THE BLACK-SCHOLES MODEL WITH A CONSTANT CONTINUOUS DIVIDEND YIELD 6. THE OBJECT OF THIS…

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Consider the Black-Scholes model with a constant continuous dividend yield 6. The object of this exercise is to show that this model is complete. Take, therefore, as given a contingent claim X = ϕ (S(T)). Show that this claim can be replicated by a self-financing portfolio based on B and S, and that the portfolios weights are given by


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