fundamental theorem of asset pricing
GPTKB entity
Statements (22)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:mathematical_concept
|
| gptkbp:appliesTo |
financial markets
|
| gptkbp:basisFor |
gptkb:Black-Scholes_model
modern financial mathematics |
| gptkbp:developedBy |
1970s
|
| gptkbp:field |
mathematical finance
|
| https://www.w3.org/2000/01/rdf-schema#label |
fundamental theorem of asset pricing
|
| gptkbp:notablePerson |
gptkb:Freddy_Delbaen
gptkb:Walter_Schachermayer gptkb:Harrison_and_Kreps |
| gptkbp:publishedIn |
gptkb:Annals_of_Probability
|
| 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 |
option pricing
derivative pricing |
| gptkbp:bfsParent |
gptkb:Walter_Schachermayer
gptkb:Harrison–Pliska_theorem |
| gptkbp:bfsLayer |
7
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