4501数理金融中等数值题short
Claim Price Interval From State-Price Family 11
题目
A family of state-price vectors is pi(lambda) = (0.25+lambda, 0.50-2lambda, 0.20+lambda) with lambda constrained to [0, 0.05]. For the claim payoff (0,1,3), what arbitrage-free price interval does the family imply?
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Lower bound
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