Past exam of the mathematics course of the University of Cambridge / 2024 / iii / Paper 211 / 1 / a

An arbitrage is a finite-horizon previsible strategy with no positive initial cost, nonnegative cash flows at every date, and a strictly positive cash flow with positive probability at some date, after liquidation. Equivalently, one may require zero initial value and a nonnegative terminal gain that is positive with positive probability, after retaining intermediate cash flows in a cash account.