Author: Courtault Jean-Michel
Publisher: Springer Publishing Company
ISSN: 0949-2984
Source: Finance and Stochastics, Vol.8, Iss.4, 2004-11, pp. : 525-530
Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.
Abstract
We consider the standard discrete-time model of a frictionless financial market and show that the law of one price holds if and only if there exists a martingale density process with strictly positive initial value. In contrast to the classical no-arbitrage criteria, this density process may change its sign. We also give an application to the CAPM.
Related content
The law of one accounting variable
By Reisman Haim
Quantitative Finance, Vol. 13, Iss. 2, 2013-02 ,pp. :
Trading Halts and Price Discovery
By Madura Jeff Richie Nivine Tucker Alan
Journal of Financial Services Research, Vol. 30, Iss. 3, 2006-12 ,pp. :
International price and earnings momentum
By Leippold Markus Lohre Harald
The European Journal of Finance, Vol. 18, Iss. 6, 2012-07 ,pp. :
Volatility conditional on price trends
Quantitative Finance, Vol. 10, Iss. 4, 2010-04 ,pp. :