Martingales and arbitrage in multiperiod securities markets¶
Harrison, & Kreps. (1979). Martingales and arbitrage in multiperiod securities markets.
Cited by¶
1 citation across 1 artifact.
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Domain-specific¶
- Arrow–Debreu Model
- Welfare economics — the home turf: the proof apparatus for the First and Second Welfare Theorems, and the assumption-list-as-menu that frames every market-failure subfield (externalities, public goods, asymmetric information). Macroeconomics — the complete-markets benchmark against which incomplete-markets and financial-friction models are evaluated, with Lucas-tree asset pricing inheriting the state-contingent-claim machinery. Mathematical finance — the Arrow–Debreu state-price foundation of the fundamental theorem of asset pricing, risk-neutral valuation, and the Black-Scholes-Merton contingent-claim apparatus.
This sourceCarries the link from Arrow-Debreu state prices to risk-neutral (martingale) valuation and the fundamental theorem of asset pricing.
- Welfare economics — the home turf: the proof apparatus for the First and Second Welfare Theorems, and the assumption-list-as-menu that frames every market-failure subfield (externalities, public goods, asymmetric information). Macroeconomics — the complete-markets benchmark against which incomplete-markets and financial-friction models are evaluated, with Lucas-tree asset pricing inheriting the state-contingent-claim machinery. Mathematical finance — the Arrow–Debreu state-price foundation of the fundamental theorem of asset pricing, risk-neutral valuation, and the Black-Scholes-Merton contingent-claim apparatus.
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