On the law of one price
نویسندگان
چکیده
We consider the standard discrete-time model of a frictionless financial market and show that the law of one price holds if and only if there exists a martingale density process with strictly positive initial value. In contrast to the classical no-arbitrage criteria, this density process may change its sign. We also give an application to the CAPM.
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ورودعنوان ژورنال:
- Finance and Stochastics
دوره 8 شماره
صفحات -
تاریخ انتشار 2004