On the law of one price

被引：5
|
作者：
Courtault, JM
Delbaen, F
Kabanov, Y
Stricker, C
机构：
[1] Univ Franche Comte, LIBRE, F-25030 Besancon, France
[2] ETH Zentrum, Eidgenoss Tech Hsch Zurich, Dept Math, CH-8092 Zurich, Switzerland
[3] Cent Econ & Math Inst, Moscow, Russia
来源：
FINANCE AND STOCHASTICS | 2004年 / 8卷 / 04期
关键词：
law of one price; Harrison-Pliska theorem; Dalang-Morton-Willinger theorem; market portfolio; CAPM;
D O I：
10.1007/s00780-004-0124-9
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：525 / 530
页数：6
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