A Proof of the Dalang-morton-willinger Theorem
نویسنده
چکیده
We give a new proof of the Dalang-Morton-Willinger theorem, relating the no-arbitrage condition in stochastic securities market models to the existence of an equivalent martingale measure with bounded density for a d-dimensional stochastic sequence (Sn) N n=0 of stock prices. Roughly speaking, the proof is reduced to the assertion that under the no-arbitrage condition for N = 1 and S ∈ L there exists a strictly positive linear fucntional on L, which is bounded from above on a special subset of the subspace K ⊂ L of investor’s gains.
منابع مشابه
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تاریخ انتشار 2008