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

J. Jacod and A.N. Shiryaev
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J. Jacod: Laboratoire de ProbabilitÊs, UniversitÊ P. et M. Curie et CNRS, URA 224, 4 Place Jussieu, F-75252-Paris Cedex, France
A.N. Shiryaev: Steklov Mathematical Institute, Gubkina St. 8, Moscow, 117966 Russia Manuscript

Finance and Stochastics, 1998, vol. 2, issue 3, 259-273

Abstract: 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.

Keywords: Arbitrage; complete models; equivalent martingale measure. (search for similar items in EconPapers)
JEL-codes: D40 G12 G13 (search for similar items in EconPapers)
Date: 1998-05-05
Note: received: October 1996; final version received: December 1997
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Citations: View citations in EconPapers (69)

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