4476数理金融中等数值题short
Convex-Hull No-Arbitrage Test 1
题目
A one-period stock has S0=100, future states 118, 94, and 76, and risk-free rate 0. Use the discounted-price convex-hull test to decide whether an arbitrage-free pricing measure can exist.
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你的答案
Discounted S0
No-arbitrage verdict