Sep 25, 2017 term paper 2

PROVE PROPOSITIONS 16.11-16.13. 16.11 (PRICING EQUATION) THE PRICING FUNCTION F(T, S, D) FOR THE…

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Prove Propositions 16.11-16.13.

16.11

(Pricing equation) The pricing function F(t, s, D) for the claim χ = ϕ (ST) solves the boundary value problem

16.12

(Risk neutral valuation) The pricing function has the representation

16.13

The martingale measure Q is characterized by the following facts:


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