No-arbitrage and equivalent martingale measures: An elementary proof of the Harrison-Pliska theorem. (English. Russian original) Zbl 0834.60045
Theory Probab. Appl. 39, No. 3, 523-527 (1994); translation from Teor. Veroyatn. Primen. 39, No. 3, 635-640 (1994).
The authors give a new proof of Harrison-Pliska’s theorem [see R. C. Dalang, A. Morton and W. Willinger, Stochastics Stochastics Rep. 29, No. 2, 185-201 (1990; Zbl 0694.90037)]. In this theorem it is shown that no-arbitrage is equivalent to the existence of the probability measure \(Q\) which is absolutely continuous with respect to the main probability measure \(P\) with strictly positive bounded density such that all prices of stocks are martingales with respect to measure \(Q\).
Reviewer: K.Kubilius (Vilnius)
