An elementary proof of the Dalang-Morton-Willinger theorem

• Autorzy: Armen Edigarian , Agnieszka Rygiel
• Języki publikacji: EN

Abstrakty

EN

L. C. G. Rogers has given an elementary proof of the fundamental theorem of asset pricing in the case of finite discrete time, due originally to Dalang, Morton and Willinger. The purpose of this paper is to give an even simpler proof of this important theorem without using the existence of regular conditional distribution, in contrast to Rogers' proof.

Kategorie tematyczne

• 60G42: Martingales with discrete parameter

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2007
• Tom: 34
• Numer: 4
• Strony: 383-388

Daty

wydano

2007

Twórcy

autor

Armen Edigarian

• Institute of Mathematics, Jagiellonian University, Reymonta 4, 30-059 Kraków, Poland

autor

Agnieszka Rygiel

• Higher Vocational School in Tarnów, Mickiewicza 8, 33-100 Tarnów, Poland

Identyfikatory

DOI

10.4064/am34-4-1