hi ,
>If the underlying is not Gaussian
>(better to say quasi-Brownian) then basicly the market is not >complete
>and the measure is not unique.
Indeed this point I do not understand very well. If the market is not
complete perfect hedging is not possible and the portfolio cannot be
made risk free anymore. How the no arbitrage condition is imposed on a
risky porfolio?
And anyway if the quivalent martingale measure is not unique what is the
meaning of the associated price?
thank you,
Giulia
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_____________________________________________________
Dr. Giulia Iori
(Lecturer in finance)
Department of Accounting, Finance and Management
University of Essex
Wivenhoe Park
Colchester, Essex CO4 3SQ, UK
Telephone: (44) 1206 873768
Fax: (44) 1206 873429
Email: [log in to unmask]
URL: //www.essex.ac.uk/AFM/about_us/staff/iori/iori.html
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