Geodesic
No-arbitrage and equivalent martingale measures: an elementary proof of the Harrison–Pliska theorem
Teoriâ veroâtnostej i ee primeneniâ, Tome 39 (1994) no. 3, pp. 635-640 Cet article a éte moissonné depuis la source Math-Net.Ru

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We give a new proof of a key result to the theorem that in the discrete-time stochastic model of a frictionless security market the absence of arbitrage possibilities is equivalent to the existence of a probability measure $Q$ which is absolute continuous with respect to the basic probability measure $P$ with the strictly positive and bounded density and such that all security prices are martingales with respect to $Q$. The proof is elementary in a sense that it does not involve a measurable selection theorem.
Keywords: security market, equivalent martingale measure.
Mots-clés : no-arbitrage 
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     title = {No-arbitrage and equivalent martingale measures: an elementary proof of the {Harrison{\textendash}Pliska} theorem},
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Yu. M. Kabanov; D. O. Kramkov. No-arbitrage and equivalent martingale measures: an elementary proof of the Harrison–Pliska theorem. Teoriâ veroâtnostej i ee primeneniâ, Tome 39 (1994) no. 3, pp. 635-640. http://geodesic.mathdoc.fr/item/TVP_1994_39_3_a11/