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A simple counterexample to several problems in the theory of asset pricing

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Representing Martingale measures when asset prices are continuous and bounded

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On the law of one price

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A counterexample to several problems in the theory of asset pricing

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The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time

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Martingale densities for general asset prices

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On the law of one price

Courtault, Jean-Michel; Delbaen, Freddy; Kabanov, Yuri; … - In: Finance and Stochastics 8 (2004) 4, pp. 525-530

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...

Persistent link: https://www.econbiz.de/10005390695