IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Local martingales and the fundamental asset pricing theorems in the discrete-time case

Listed author(s):
  • J. Jacod

    (Laboratoire de ProbabilitÊs, UniversitÊ P. et M. Curie et CNRS, URA 224, 4 Place Jussieu, F-75252-Paris Cedex, France)

  • A.N. Shiryaev

    (Steklov Mathematical Institute, Gubkina St. 8, Moscow, 117966 Russia Manuscript)

Registered author(s):

    This paper is devoted to giving simpler proofs of the two fundamental theorems of asset pricing theory, in iscrete-time and finite horizon: namely the no-arbitrage theorem, and the market completeness theorem. Some elementary but apparently new results are also given on discrete-time martingale theory, and in particular a new condition for a local martingale to be a martingale.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: Access to the full text of the articles in this series is restricted

    File URL:
    Download Restriction: Access to the full text of the articles in this series is restricted

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 2 (1998)
    Issue (Month): 3 ()
    Pages: 259-273

    in new window

    Handle: RePEc:spr:finsto:v:2:y:1998:i:3:p:259-273
    Note: received: October 1996; final version received: December 1997
    Contact details of provider: Web page:

    Order Information: Web:

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:2:y:1998:i:3:p:259-273. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)

    or (Rebekah McClure)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.