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.
Positivity – Springer Journals
Published: Oct 12, 2004
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