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.
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© 2003 Springer Basel AG
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Harrison, J.M., Pliska, S.R. (2003). Conditioning and Martingales. In: Mathematical Finance and Probability. Birkhäuser, Basel. https://doi.org/10.1007/978-3-0348-8041-1_10
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DOI: https://doi.org/10.1007/978-3-0348-8041-1_10
Publisher Name: Birkhäuser, Basel
Print ISBN: 978-3-7643-6921-7
Online ISBN: 978-3-0348-8041-1
eBook Packages: Springer Book Archive