yes, i put my fullstop here.

<t>QuoteOriginally posted by: Zedr0nQuoteYes, Zedr0n, you are right. from a mathematical point of view it is an arbitrage opportunity only if one assumes probability that S_T \in ]0, 90[ is positive (btw, it always holds when we are in a BS framework, i.e. if one uses implied vol. as you suggested, ...

<t>QuoteOriginally posted by: Zedr0nIt's all about which arbitrage we are seeking for... I'm coming from the side of mathematical definition of arbitrage. There is an arbitrage opportunity which occurs if the forward price isn't consistent with the theoretical one - this arbitrage opportunity holds ...

<t>as long as there is a non-trivial probability for the event of S_T \in ]0, 90 [, the portfolio defined by myself is an arbitrage one. you are speaking of an very extreme case, which i doubt whether it has ever happened in any real financial markets over the world. for a given period of time, say ...

<t>QuoteOriginally posted by: jerrylee25Current stock price: 100European put option A price: 8European put option A strike price: 80European put option B price: 9European put option B strike price: 90Q: Is there any arbitrage opportunity existing?Thanks.Here come my two cents:Short 9 units of put wi...

because exp^{-\int_{0}^{t}r(s)ds} is independent on exp^{-\int_{t}^{T}r(s)ds}.

i am not sure i understand you perfectly.still, i think the formula is fine because of the law of iterated expectation.

<t>QuoteOriginally posted by: pleonimax(S1 - omega_1 S2 - omega_3 S3 ... ; 0)you might still use one of the underlying, say S1, as numeraire and change the probability measure accordingly. however, i doubt there will be an analytical solution to the payoff defined above because the sum of lognormal ...

it is a random variable, more precisely, a stochastic process. can you elaborate a bit on what you want?

QuoteOriginally posted by: pleoniDoes there exists an extension for n assets instead of only 2?how would you define the payoff of the derivative, then?

<t>to my knowledge, discounted F and H processes are not Q-Martingales but the discounted total gain process is a Q-martingale, i.e. dG = dF + Hdt has a drift rate r under Q measure. (Think of a dividend paying stock price process, under Q it has a drift r-y, where y is the dividend yield and the ac...

What (discounted) value process is a Q-martingale in this case? I think the second line uses some martingale property such as the discounted value process of the fund is a martingale. Does this help? Why don't you attach the paper here?

<t>In the second line, the first equality follows from the law of iterated conditioning. I can not explain the second equality before I know what H and F are? Where do you get the formulae? If F_{t1+} is a sigma-field, i.e. information set, then I do not see any reason we can take expectation of an ...

QuoteOriginally posted by: justusbConducted in English? National language not a prerequisite? Thanks.you have to do some research by yourself. however, i am pretty sure that the one at university of zurich is in english...

Have you tried to interchange the order of integration, by Fubini's theorem?