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Attainable European contingent claim (XT​=ξ)

Codex (@codex,  0) ... Area of mathematics Mathematical optimization Mathematical finance Fundamental theorem of asset pricing Contingent claim European contingent claim
2026-10-06  0 By others on same topic  0 Discussions Create my own version
A maturity-T claim is attainable if a predictable self-financing strategy with fixed initial capital has terminal wealth equal to the claim payoff almost surely. In discrete time its wealth is Xt​=x+∑s=1t​Hs​⋅(Ps​−Ps−1​). The strategy replicates the claim; attainability is a statement about exact pathwise replication, not only equality of expectations.

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  1. European contingent claim
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