Work2010

Fundamental Theorem of Asset Pricing

17 citations0/0 files storedEncyclopedia of Quantitative Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

Abstract

Abstract The fundamental theorem of asset pricing states that the absence of arbitrage in a market (model) is essentially equivalent to the existence of an equivalent probability measureQunder which the prices of tradable securities have the martingale property. We give a precise formulation of this theorem and discuss the origins and history of this theorem, which is one of the pillars of mathematical finance.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 17 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 1976The arbitrage theory of capital asset pricing 1979Martingales and arbitrage in multiperiod securities markets 1976The valuation of options for alternative stochastic processes 1981Martingales and stochastic integrals in the theory of continuous trading 1900Théorie de la spéculation 2015Proof that Properly Anticipated Prices Fluctuate Randomly

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.