Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2022/iii/paper-211/3/b/solution

Every indicator random variable must lie in the linear span of the terminal asset prices. If the sigma-algebra had disjoint events of positive probability, their indicators would be linearly independent, yet completeness would place all of them in an at-most--dimensional space. Hence, modulo null events, the sample space has at most positive-probability atoms.

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