No Arbitrage: On the Work of David Kreps

No Arbitrage: On the Work of David Kreps Since the seminal papers by Black, Scholes and Merton on the pricing of options (Nobel Prize for Economics, 1997), the theory of No Arbitrage plays a central role in Mathematical Finance. Pioneering work on the relation between no arbitrage arguments and martingale theory has been done in the late seventies by M. Harrison, D. Kreps and S. Pliska. In the present note we give a brief survey on the relation of the theory of No-Arbitrage to coherent pricing of derivative securities. We focus on a seminal paper published by D. Kreps in 1981, and give a solution to an open problem posed in this paper. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Positivity Springer Journals

No Arbitrage: On the Work of David Kreps

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Publisher
Kluwer Academic Publishers
Copyright
Copyright © 2002 by Kluwer Academic Publishers
Subject
Mathematics; Fourier Analysis; Operator Theory; Potential Theory; Calculus of Variations and Optimal Control; Optimization; Econometrics
ISSN
1385-1292
eISSN
1572-9281
D.O.I.
10.1023/A:1020262419556
Publisher site
See Article on Publisher Site

References

  • Approximate completeness with multiple martingale measures
    Artzner, P.; Heath, D.
  • Representing martingale measures when asset prices are continuous and bounded
    Delbaen, F.
  • A martingale representation result and an application to incomplete financial markets
    Jacka, S. D.
  • Martingale measures for discrete time processes with infinite horizon
    Schachermayer, W.

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