An elementary proof of the Dalang-Morton-Willinger theorem

Armen Edigarian, and Agnieszka Rygiel. "An elementary proof of the Dalang-Morton-Willinger theorem." Applicationes Mathematicae 34.4 (2007): 383-388. <http://eudml.org/doc/280060>.

@article{ArmenEdigarian2007,
abstract = {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.},
author = {Armen Edigarian, Agnieszka Rygiel},
journal = {Applicationes Mathematicae},
keywords = {equivalent martingale measure; arbitrage},
language = {eng},
number = {4},
pages = {383-388},
title = {An elementary proof of the Dalang-Morton-Willinger theorem},
url = {http://eudml.org/doc/280060},
volume = {34},
year = {2007},
}

TY - JOUR
AU - Armen Edigarian
AU - Agnieszka Rygiel
TI - An elementary proof of the Dalang-Morton-Willinger theorem
JO - Applicationes Mathematicae
PY - 2007
VL - 34
IS - 4
SP - 383
EP - 388
AB - 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.
LA - eng
KW - equivalent martingale measure; arbitrage
UR - http://eudml.org/doc/280060
ER -