Journal article 815 views 164 downloads
A comparison of two no-arbitrage conditions
Miao Wang,
Jiang-lun Wu 
Frontiers of Mathematics in China, Volume: 9, Issue: 4, Pages: 929 - 946
Swansea University Author:
Jiang-lun Wu
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DOI (Published version): 10.1007/s11464-014-0406-2
Abstract
We give a comparison of two no-arbitrage conditions for the fundamental theorem of asset pricing. The first condition is named as the no free lunch with vanishing risk condition and the second the no good deal condition. We aim to derive a relationship between these two conditions.
| Published in: | Frontiers of Mathematics in China |
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| ISSN: | 1673-3452 1673-3576 |
| Published: |
2014
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| Online Access: |
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa22313 |
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| Abstract: |
We give a comparison of two no-arbitrage conditions for the fundamental theorem of asset pricing. The first condition is named as the no free lunch with vanishing risk condition and the second the no good deal condition. We aim to derive a relationship between these two conditions. |
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| Keywords: |
No free lunch with vanishing risk condition, no good deal condition, extension theorem, fundamental theorem, equivalent martingale measures |
| College: |
Faculty of Science and Engineering |
| Issue: |
4 |
| Start Page: |
929 |
| End Page: |
946 |