rlsrachaellouisesmith
Ton up Member
Good morning,
(i) Where will I find the definition of a complete market in the notes, I do not recall seeing this anywhere
(iii) How do we know that we should use W~t=Wt+Lt for some constant L? In the notes it says some gamma(t) exists which suggests a function of t exists. Do we just know for geometric Brownian motion that it is Lt because we need dW~t=dWt+Ldt, so that the drift term can be made to equal 0?
Thank you
(i) Where will I find the definition of a complete market in the notes, I do not recall seeing this anywhere
(iii) How do we know that we should use W~t=Wt+Lt for some constant L? In the notes it says some gamma(t) exists which suggests a function of t exists. Do we just know for geometric Brownian motion that it is Lt because we need dW~t=dWt+Ldt, so that the drift term can be made to equal 0?
Thank you