A note on the condition of no unbounded profit with bounded risk (Q468417): Difference between revisions

The authors consider financial markets with finite horizon, continuous time and càdlàg semimartingale asset prices, for which neither local boundedness nor positivity is assumed. The aim of the paper is to prove that in a general finite-dimensional setting the ``no unbounded profit with bounded risk (NUPBR)'' condition is equivalent to the existence of a strict sigma-martingale density for the price process. A thorough comparison is conducted with numerous previous related results and it is shown that the main result of the paper generalizes a lot of previous ones. The proof uses the technique of numéraire change.