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Abstract: . R. Dalang, A. Morton and W. Willinger have proved a beautiful version of the Fundamental Theorem of Asset Pricing which pertains to the case of finite discrete time: In this case the absence of arbitrage opportunities already characterizes the existence of an equivalent martingale measure. The purpose of this paper is to give an elementary proof of this important theorem which relies only on orthogonality arguments. In contrast, the original proof of Dalang, Morton and Willinger uses heavy... (Update)
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...given in Dalang et al. 1990) is based on measurable selection and measure decomposition theorems. Alternative proofs are due to Schachermayer (1992) (using certain Hilbert space techniques) Kabanov and Kramkov (1994) and Rogers (1994) Note that Theorem 1.1 holds if we allow...
.... INFINITE HORIZON W. Schachermayer Institut of Mathematics, University of Vienna, Strudlhofgasse 4, A 1090 Wien, Austria. Revised Version November 1992 Abstract. Let (S t ) t2I be an IR d valued adapted stochastic process on( Omega ; F ; F t ) t2I ; P ) A basic problem,...
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0.6: Robert A. Jarrow - Johnson Graduate School (Correct)
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BibTeX entry: (Update)
W. Schachermayer, A Hilbert Space Proof of the Fundamental Theorem of Asset Pricing in Finite Discrete Time, Insurance, Math. and Econ. 11 (1992), 249--257. http://citeseer.ist.psu.edu/schachermayer92hilbert.html More
@article{ schachermayer92hilbert,
author = "Walter Schachermayer",
title = "A {H}ilbert Space Proof of the Fundamental Theorem of Asset Pricing in Finite Discrete Time",
journal = "Insurance: Mathematics and Economics",
volume = "11",
pages = "1--9",
year = "1992",
url = "citeseer.ist.psu.edu/schachermayer92hilbert.html" }
Citations (may not include all citations):434 The Pricing of Options and Corporate Liabilities (context) - Black, Scholes - 1973
159 The Theory of Rational Option Pricing (context) - Merton - 1973
141 Martingales and arbitrage in multiperiod securities markets (context) - Harrison, Kreps - 1979
125 Martingales and stochastic integrals in the theory of contin.. (context) - Harrison, Pliska - 1981
61 A General Version of the Fundamental Theorem of Asset Pricin.. (context) - Delbaen, Schachermayer - 1992
53 Hedging of Contingent Claims under Incomplete Information (context) - Follmer, Schweizer - 1990
50 Topological Vector Spaces (context) - Schaefer - 1971
15 Equivalent Martingale measures and no--arbitrage in stochast.. (context) - Dalang, Morton et al. - 1990
14 Martingale Measures for discrete time processes with infinit.. - Schachermayer - 1992
11 Representing Martingale Measures when Asset Prices are conti.. (context) - Delbaen - 1991
11 Multiperiod security markets with differential information (context) - Duffie, Huang - 1986
10 Arbitrage et lois de martingale (context) - Stricker - 1990
9 Caracterisation d' une classe d'ensembles convexes de L 1 ou.. (context) - Yan - 1980
8 the Fundamental Theorem of Asset Pricing with an infinite St.. (context) - Back, Pliska - 1990
6 Arbitrage and Equilibrium in Economics with infinitely many .. (context) - Kreps - 1981
5 The analysis of finite security markets using martingales (context) - Taqqu, Willinger - 1987
4 Pathwise approximations of processes based on the fine struc.. (context) - Willinger, Taqqu - 1988
3 On weak Compactness in L 1 (context) - Diestel, Ruess et al. - 1992
3 Martingale Measures for Right--Continuous Processes which ar.. (context) - Lakner - 1992
2 eme de Yan, S (context) - Ansel, Stricker et al. - 1990
1 A Remark on Arbitrage and Martingale Measure (context) - Kusuoka - 1992
1 Aproximate Completeness with Multiple Martingale Measures (context) - Artzner, Heath - 1992
The graph only includes citing articles where the year of publication is known.
Documents on the same site (http://www.fam.tuwien.ac.at/~wschach/preprnts.htm): More
The No-Arbitrage Property under a Change of Numéraire - Delbaen, Schachermayer (1995) (Correct)
Is There A Predictable Criterion For Mutual Singularity .. - Schachermayer.. (Correct)
The Asymptotic Elasticity of Utility Functions and.. - Kramkov, Schachermayer (1997) (Correct)
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