Show that h is an arbitrage if and only if the discounted gain G satisfies (i)

Question:

Show that h is an arbitrage if and only if the discounted gain G satisfies (i) G ≥ 0 and (ii) E[G] > 0. Here, E is the expectation under the actual probability measure P,P(ω) > 0.

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For  book-img-for-question
Question Posted: