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Conditioning and Martingales

In: Mathematical Finance and Probability

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  • J. M. Harrison
  • S. R. Pliska

Abstract

The concept of a martingale is central in the pricing of contingent claims. Furthermore, the concept is crucial to obtain an elegant formulation of the fundamental theorems of asset pricing in a multi-period setting, thus generalizing the single-period versions of Theorems 6.19 and 6.20 we proved in Chapter 6. For a sound understanding of martingales we first have to talk about conditioning.

Suggested Citation

  • J. M. Harrison & S. R. Pliska, 2003. "Conditioning and Martingales," Springer Books, in: Mathematical Finance and Probability, chapter 0, pages 179-190, Springer.
    • Handle: RePEc:spr:sprchp:978-3-0348-8041-1_10
    DOI: 10.1007/978-3-0348-8041-1_10
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