Local martingales and the fundamental asset pricing theorems in the discrete-time case
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.
Volume (Year): 2 (1998)
Issue (Month): 3 ()
|Note:||received: October 1996; final version received: December 1997|
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|Order Information:||Web: http://www.springer.com/mathematics/quantitative+finance/journal/780/PS2|
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