New answers tagged martingale
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Show that a zero-coupon bond discounted by a bond with mautrity $T$ is a martingale under the $T$-Forward measure
It is true by definition of the $T$-forward measure.
Which is the measure that makes every tradable asset discounted by the $T$-bond a martingale.
For the uniqueness of one of the comments, not all $T$...
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Is there an arbitrage ? (Solve question 1c)
At time $t_0$
buy 1 unit of Asset 3 at $\\\$200$
short sell 2 units of Asset 2 at $\\\$200$ each receiving $\\\$200$
Our net cash flow at $t_0$ is $\\\$200$ (from short selling asset 2) - $\\\$200$ (...
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