Conditioning and Martingales

J. M. Harrison and S. R. Pliska

Chapter Chapter 10 in Mathematical Finance and Probability, 2003, pp 179-190 from Springer

Abstract: Abstract The concept of a martingale is central in the pricing of contingent claims. Furthermore, the concept is crucial to obtain an elegant formulation of the fundamental theorems of asset pricing in a multi-period setting, thus generalizing the single-period versions of Theorems 6.19 and 6.20 we proved in Chapter 6. For a sound understanding of martingales we first have to talk about conditioning.

Date: 2003
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DOI: 10.1007/978-3-0348-8041-1_10

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