In Tomas Björk's Arbitrage Theory in Continuous Time (or here), $\exists$ this proposition
It seems that to show that the model is complete, we must show that the claims are reachable. That is, we must find replicating portfolios.
Which part of finding the replicating portfolio makes use of the assumption?
Answer
The only reason we are able to solve the system is because of $d
No comments:
Post a Comment