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A comparison of two no-arbitrage conditions

Miao Wang, Jiang-lun Wu Orcid Logo

Frontiers of Mathematics in China, Volume: 9, Issue: 4, Pages: 929 - 946

Swansea University Author: Jiang-lun Wu Orcid Logo

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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
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first_indexed 2015-07-09T02:07:16Z
last_indexed 2018-02-09T05:00:37Z
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spelling 2017-02-22T11:22:00.3151490 v2 22313 2015-07-08 A comparison of two no-arbitrage conditions dbd67e30d59b0f32592b15b5705af885 0000-0003-4568-7013 Jiang-lun Wu Jiang-lun Wu true false 2015-07-08 SMA 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. Journal Article Frontiers of Mathematics in China 9 4 929 946 1673-3452 1673-3576 No free lunch with vanishing risk condition, no good deal condition, extension theorem, fundamental theorem, equivalent martingale measures 31 8 2014 2014-08-31 10.1007/s11464-014-0406-2 COLLEGE NANME Mathematics COLLEGE CODE SMA Swansea University 2017-02-22T11:22:00.3151490 2015-07-08T09:11:26.4340035 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Miao Wang 1 Jiang-lun Wu 0000-0003-4568-7013 2 0022313-22022017112146.pdf MiaoWangJianglunWu2v2.pdf 2017-02-22T11:21:46.6170000 Output 202551 application/pdf Accepted Manuscript true 2017-02-22T00:00:00.0000000 false eng
title A comparison of two no-arbitrage conditions
spellingShingle A comparison of two no-arbitrage conditions
Jiang-lun Wu
title_short A comparison of two no-arbitrage conditions
title_full A comparison of two no-arbitrage conditions
title_fullStr A comparison of two no-arbitrage conditions
title_full_unstemmed A comparison of two no-arbitrage conditions
title_sort A comparison of two no-arbitrage conditions
author_id_str_mv dbd67e30d59b0f32592b15b5705af885
author_id_fullname_str_mv dbd67e30d59b0f32592b15b5705af885_***_Jiang-lun Wu
author Jiang-lun Wu
author2 Miao Wang
Jiang-lun Wu
format Journal article
container_title Frontiers of Mathematics in China
container_volume 9
container_issue 4
container_start_page 929
publishDate 2014
institution Swansea University
issn 1673-3452
1673-3576
doi_str_mv 10.1007/s11464-014-0406-2
college_str Faculty of Science and Engineering
hierarchytype
hierarchy_top_id facultyofscienceandengineering
hierarchy_top_title Faculty of Science and Engineering
hierarchy_parent_id facultyofscienceandengineering
hierarchy_parent_title Faculty of Science and Engineering
department_str School of Mathematics and Computer Science - Mathematics{{{_:::_}}}Faculty of Science and Engineering{{{_:::_}}}School of Mathematics and Computer Science - Mathematics
document_store_str 1
active_str 0
description 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_date 2014-08-31T03:26:33Z
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score 11.016235

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