Multidimensional Models: Martingale Approach
This chapter analyses a multidimensional model using the martingale machinery of Chapter 10. This model is more general than the one used in the previous chapter to obtain more general results, and enhance the understanding of the pricing and hedging problems for Wiener driven models. A self-contained proof of the Second Fundamental Theorem is presented. A practice exercise is included.
Keywords: martingale approach, multidimensional model, arbitrage, completeness, pricing, Second Fundamental Theorem, risk
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