Local martingales and the fundamental asset pricing theorems in the discrete-time case (Q1387768)
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English | Local martingales and the fundamental asset pricing theorems in the discrete-time case |
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Local martingales and the fundamental asset pricing theorems in the discrete-time case (English)
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5 January 1999
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This paper gives simpler proofs of the discrete-time versions of the no-arbitrage theorem and the market completeness theorem of asset pricing theory. A new result in discrete-time martingale theory is derived to establish these proofs. This result states that if \(X\) is a local martingale such that \(E(X^-_n)< \infty\) for all \(n\), or \(E(X^+_n)< \infty\) for all \(n\), then \(X\) is a martingale.
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finance
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arbitrage
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martingale
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complete models
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