Consider a general binomial model with terminal time T. Recall our convention that a random...
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Consider a general binomial model with terminal time T. Recall our convention that a random variable Y is Ft-measurable, written as YFt, is if there exists a deterministic function g such that Y=g(X1,,Xt). (S0 is considered as a constant for us.) Let {t,t}t=1,,T be certain self-financing portfolio on the given binomial model. Fix an arbitrary t{1,,T1}. Which of the following random variables are not Ft-measurable? It suffices to provide a list as the answer. No need to explain why. (a) St1,St,St+1 (b) Bt1,Bt,Bt+1. (c) t1,t,t+1. (d) 1{St>100}. (e) 1{Stmaxs=1,,tSs} (f) 1{St>maxs=1,,TSs}
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