Past exam of the mathematics course of the University of Cambridge / 2022 / iii / Paper 211 / 5 / b

Table of contents
- Solution b

Solution

The product rule and self-financing identity show that

X Y

is the stochastic integral of

H

against the vector of deflated prices

Y P

, hence is a local martingale. It is nonnegative by admissibility and positivity of

Y

. Every nonnegative local martingale is a supermartingale, so

E (X_{T} Y_{T}) \leq X_{0} Y_{0} .

 Ancestors (10)

 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