Fundamental Theorem of Asset Pricing
GPTKB entity
Statements (26)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:mathematical_concept
|
| gptkbp:appliesTo |
financial markets
|
| gptkbp:basisFor |
risk-neutral valuation
modern financial mathematics no-arbitrage pricing theory |
| gptkbp:category |
gptkb:probability_theory
gptkb:stochastic_process finance theorem |
| gptkbp:field |
mathematical finance
|
| https://www.w3.org/2000/01/rdf-schema#label |
Fundamental Theorem of Asset Pricing
|
| gptkbp:influencedBy |
gptkb:Black-Scholes_model
|
| gptkbp:provenBy |
gptkb:Harrison_and_Kreps
Harrison and Pliska |
| gptkbp:publishedIn |
1979
1981 |
| gptkbp:relatedTo |
risk-neutral measure
arbitrage market completeness martingale measure |
| gptkbp:state |
A market is complete if and only if the equivalent martingale measure is unique.
A market is arbitrage-free if and only if there exists an equivalent martingale measure. |
| gptkbp:usedIn |
gptkb:stochastic_process
option pricing derivative pricing |
| gptkbp:bfsParent |
gptkb:Delbaen–Schachermayer_theorem
|
| gptkbp:bfsLayer |
6
|