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Local Martingales And The Fundamental Asset Pricing Theorems In The Discrete-time Case

J. Jacod, A. Shiryaev
Published 1998 · Computer Science, Mathematics

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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.
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