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We work on a probability space $(\Omega,\mathcal{N},\mathfrak{F})$ with filtration $(\mathfrak{F}_t)_{0\leq t\leq T}$ and $\mathfrak{F}_T:=\mathfrak{F}$. Let $\xi$ be a $\mathfrak{F}_T$-mesurable contingent claim, and $N_t$ and $M_t$ two assets with positive prices. We assume the process $M_t/N_t$ is a martingale under the probability measure $\mathcal{N}$. ...


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