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The Application of Equivalent Martingale Measure
in Asset Pricing
Shou-Hong Bao
81
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Abstract
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Abstract
One of the important theoretical basis of ?nancial mathematics is: in a ?nite
number of assets and the limited period assumption, the absence of arbitrage is
equivalent to the existence of equivalent martingale measure, so that the discounted
asset price process is a martingale(the ?rst fundamental theorem of asset pricing).
Further more, if the market is complete, no arbitrage assumption is equivalent to
the existence of the unique equivalent martingale measure(the second fundamental
theorem of asset pricing). A series of methods developed from this result is called
the martingale method. The martingale approach makes many problems in ?nancial
theory r
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