We consider the standard discrete-time model of a frictionless financial market and show that the law of one price holds if and only if there exists a martingale density process with strictly positive initial value. In contrast to the classical no-arbitrage criteria, this density process may...

This paper investigates the relationship between the minimal Hellinger martingale measure of order q (MHM measure hereafter) and the q-optimal martingale measure for any q[not equal to]1. First, we provide more results for the MHM measure; in particular we establish its complete characterization...