Abstract
We saw in the previous chapter that the existence of a probability measure Q ~ P under which the (discounted) stock price process is a martingale is sufficient to ensure that the market model is viable; that is, it contains no arbitrage opportunities. We now address the converse: whether for every viable model one can construct an equivalent martingale measure for S, so that the price of a contingent claim can be found as an expectation relative to Q.
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© 1999 Springer Science+Business Media New York
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Elliott, R.J., Kopp, P.E. (1999). The Fundamental Theorem of Asset Pricing. In: Mathematics of Financial Markets. Springer Finance. Springer, New York, NY. https://doi.org/10.1007/978-1-4757-7146-6_3
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DOI: https://doi.org/10.1007/978-1-4757-7146-6_3
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4757-7148-0
Online ISBN: 978-1-4757-7146-6
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