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A comparison of two no-arbitrage conditions |
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| Authors: | Miao Wang Jiang-Lun Wu |
| Institution: | 1. Department of Mathematics, Swansea University, Swansea SA2 8PP, UK2. School of Mathematics, Northwest University, Xi’an 710127, China |
| 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 |
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