For a standard geometric Brownian motion model of stock prices: dS=aSdt+σSdZ
we can transform the process to be under risk neutral measure: dS=rSdt+σSd˜Z
and from the references I found, this risk neutral measure is "unique".
If we make a transform, say dS=rSdt+τSdˆZ
where τ is different from σ, this equation gives the correct price of stock. but Black-Scholes equation will fail as we have changed volatility.
However, for a discrete model, e.g. a tree model, if there are n states of world, then we need n−1 assets plus cash to uniquely pin down risk neutral measure.
Question:The Brownian motion model in effect has infinite number of states and only one asset, then where does uniqueness of risk neutral measure come from?
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