A claim $\xi$ is replicated if some holdings $h\in\mathbb R^n$ satisfy $h\cdot P_1=\xi$ almost surely; its replication cost is $h\cdot P_0$. The market is <complete market>[complete] when every claim in the specified integrability class can be replicated.

Solution

Past exam of the mathematics course of the University of Cambridge / 2022 / iii / Paper 211 / 3 / a / Solution

 Solution (source code)