On the law of one price View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

2004-11

AUTHORS

Jean-Michel Courtault, Freddy Delbaen, Yuri Kabanov, Christophe Stricker

ABSTRACT

.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. More... »

PAGES

525-530

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s00780-004-0124-9

DOI

http://dx.doi.org/10.1007/s00780-004-0124-9

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1042648989


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