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2076数理金融中等derivationmedium

Affine Replication Check in an Incomplete Market 6

题目

The stock is 100 today and ends at 120, 100, or 80 next period. Consider a claim paying 20, 10, and 0 in those three states. Can it be replicated exactly using only the stock and cash? If yes, give the hedge. If not, identify the replication obstruction.

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你的答案

replicable

delta

cash