Jouini, Elyès; Kallal, Hedi; Napp, Clotilde - HAL - 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 …