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Local martingales and the fundamental asset pricing theorems in the discrete-time case · Study

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ArticleLocal martingales and the fundamental asset pricing theorems in the discrete-time case

Jean Jacod1998

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Articlegreen1998

Local martingales and the fundamental asset pricing theorems in the discrete-time case

Jean Jacod · Albert Nikolaevich Shiryaev

173 citations·0/0 files stored·Finance and Stochastics

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

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References

1979Martingales and arbitrage in multiperiod securities markets 1993Dynamic Asset Pricing Theory.1981Martingales and stochastic integrals in the theory of continuous trading 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1990Equivalent martingale measures and no-arbitrage in stochastic securities market models 1992A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time

Cited by

2004Option Pricing: Valuation Models and Applications 2009Option Valuation with Conditional Heteroskedasticity and Nonnormality 2008Consistent price systems and face-lifting pricing under transaction costs 2001A teacher’s note on no-arbitrage criteria 2001The Harrison–Pliska arbitrage pricing theorem under transaction costs 2006From Stochastic Calculus to Mathematical Finance 2013A Mathematical Theory of Financial Bubbles 2002No-arbitrage criteria for financial markets with efficient friction

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Year1998

Typearticle

Published1998-05-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations173

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s007800050040

openalex_workW1986392102

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