Jouini, Elyès; Napp, Clotilde; Kallal, Hedi - Université Paris-Dauphine (Paris IX) - 2001
existence of an equivalent martingale measure. We also show that the only arbitrage-free pricing rules on the set of attainable … contingent claims are those that are equal to the sum of an expected value with respect to any absolutely continuous martingale … measure and of a bounded fixed cost functional. Moreover, these pricing rules are the only ones to be viable as models of …