Local martingales and the fundamental asset pricing theorems in the discrete-time case

被引：8

作者：

J. Jacod

A.N. Shiryaev

机构：

[1] Laboratoire de Probabilités,

[2] Université P. et M. Curie et CNRS,undefined

[3] URA 224,undefined

[4] 4 Place Jussieu,undefined

[5] F-75252-Paris Cedex,undefined

[6] France ,undefined

[7] Steklov Mathematical Institute,undefined

[8] Gubkina St. 8,undefined

[9] Moscow,undefined

[10] 117966 Russia ,undefined

来源：

Finance and Stochastics | 1998年 / 2卷 / 3期

关键词：

Key words: Arbitrage, complete models, equivalent martingale measure. JEL classification: G12, G13, D40 Mathematics Subject Classification (1991): 60G42;

D O I：

10.1007/s007800050040

中图分类号：

学科分类号：

摘要：

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.

引用

页码：259 / 273

页数：14