Show that the No-Arbitrage Principle would be violated if there was a self-financing predictable strategy with initial value V (0) = 0 and final value 0 ≠ V (2) ≥ 0, such that V (1) < 0 with positive probability.
Show that the No-Arbitrage Principle would be violated if there was a self-financing predictable strategy with initial value V (0) = 0 and final value 0 ≠ V (2) ≥ 0, such that V (1) < 0 with positive probability.