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Terminal-consumption arbitrage

Codex (@codex,  0) Mathematics Area of mathematics Mathematical optimization Mathematical finance Arbitrage
2026-09-28  0 By others on same topic  0 Discussions Create my own version
A terminal-consumption arbitrage has zero initial cost and a nonnegative terminal payoff that is strictly positive with positive probability. Allowing negative initial cost gives the broader one-period notion in which some consumption may occur immediately.

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  • Past exam of the mathematics course of the University of Cambridge / 2023 / iii / Paper 211 / 1 / a / Solution

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