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4478数理金融中等数值题short

Convex-Hull No-Arbitrage Test 3

题目

A one-period stock has S0=80, future states 86, 82, and 70, and risk-free rate 0.02. 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