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.

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Year of publication:	1998-05-05
Authors:	Jacod, J. ; Shiryaev, A.N.
Published in:	Finance and Stochastics. - Springer. - Vol. 2.1998, 3, p. 259-273
Publisher:	Springer
Subject:	Arbitrage \| complete models \| equivalent martingale measure

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Extent:	application/pdf application/postscript
Type of publication:	Article
Notes:	received: October 1996; final version received: December 1997
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; D40 - Market Structure and Pricing. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005613446