Abstract
In this paper, we mainly concern about nonlinear BSDE which is often used to describe the case of constraint on the wealth of an investor. Unlike the linear case, we can show that under a certain situation, both buyer and seller can create arbitrage opportunities in the derivative market. We utilize the relation between BSDE and PDE in order to obtain a boundary of solution. As a result, we succeeded in establishing a sufficient condition which guarantees the existence of arbitrage opportunities in the market as well as the limitation of an arbitrage.
