Glossary
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i) Vh(0)= 0,
ii) P( Vh(t)≥0) = 1,
iii) P(Vh(t)>0) > 0, for some t > 0.
If there does not exist any arbitrage opportunities on a market, the market is called free of arbitrage.
Arbitrage
An arbitrage opportunity is a self-financing portfolio h with value process Vh such thati) Vh(0)= 0,
ii) P( Vh(t)≥0) = 1,
iii) P(Vh(t)>0) > 0, for some t > 0.
If there does not exist any arbitrage opportunities on a market, the market is called free of arbitrage.
Questions: Magnus Wiktorsson
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