One-period martingale deflator

For price vectors

P_{0}, P_{1}

, a one-period martingale deflator is a pair

Y_{0} > 0

,

Y_{1} > 0

satisfying

E [Y_{1} P_{1}] = Y_{0} P_{0}

componentwise.

 Ancestors (7)

 Incoming links (1)

Past exam of the mathematics course of the University of Cambridge / 2023 / iii / Paper 211 / 2 / a / Solution

 View article source

 Discussion (0)

There are no discussions about this article yet.

 Articles by others on the same topic (0)

There are currently no matching articles.

  See all articles in the same topic Create my own version