Local Martingales and the Fundamental Asset Pricing Theorems in the Discrete-Time Case
Posted: 16 Jul 1998
This paper is devoted to giving simpler proofs of the two fundamental theorems of asset pricing theory, in discrete-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.
JEL Classification: G12
Suggested Citation: Suggested Citation