COMMERCIAL AND INDUSTRIAL MATHEMATICS
|August 28, 2016|
Seminar Series on Quantitative Finance - February 19, 2003
We consider two financial markets each of which has no arbitrage. We
assume that no one trades in both markets, and that any claim traded
in both markets trades at the same price. If someone could trade in
both markets, he could construct new claims consisting of sums of claims
in the two markets at prices equal to the sum of their market prices.
Under what conditions will this new trader be unable to construct an
arbitrage? We provide additional conditions under which this holds,
and two interesting examples.