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- Title
THE SECOND FUNDAMENTAL THEOREM OF ASSET PRICING.
- Authors
Jarrow, Robert A.; Xing Jin; Madan, Dilip B.
- Abstract
This paper presents a resolution of the paradox proposed by the example of an economy with complete markets and a multiplicity of martingale measures constructed by Artzner and Heath (1995). The resolution lies in noting that completeness is with respect to a topology on the space of cash flows and is connected with uniqueness of the price functional in the topological dual space. Uniqueness may be lost outside the dual and this is what occurs in the counterexample of Artzner and Heath.
- Subjects
CASH management; CORPORATE finance; CAPITALISM; PRICING; ASSETS (Accounting); MARKETS
- Publication
Mathematical Finance, 1999, Vol 9, Issue 3, p255
- ISSN
0960-1627
- Publication type
Article
- DOI
10.1111/1467-9965.00070