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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
ISSN: 1673-3452 1673-3576
Published: 2014
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URI: https://cronfa.swan.ac.uk/Record/cronfa22313
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.
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

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