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

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

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.

Jean Jacod | Albert N. Shiryaev | A. Shiryaev | J. Jacod

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