Show that there is a unique arbitrage-free price for f

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Suppose a stock St follows a jump-diffusion process such that jumps can only occur in the time period from 0 to t₁. An option pays f (S_t2/S_t1) for some reasonable function f. Show that there is a unique arbitrage-free price for f and write down an expression for it.

Reference no: EM131168942

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