4491数理金融简单数值题short
Equivalent Measure Family 1
题目
In a three-state market, one family of equivalent martingale measures consistent with traded prices is q(lambda) = (0.2 + 1lambda, 0.5 - 2lambda, 0.3 + 1lambda). For what lambda range are all three state probabilities strictly positive, and is the martingale measure unique?
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