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The Second Fundamental Theorem of Asset Pricing
Author(s) -
Jarrow Robert A.,
Jin Xing,
Madan Dilip B.
Publication year - 1999
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/1467-9965.00070
Subject(s) - counterexample , uniqueness , martingale (probability theory) , mathematical economics , mathematics , completeness (order theory) , asset (computer security) , space (punctuation) , pure mathematics , topology (electrical circuits) , computer science , discrete mathematics , mathematical analysis , combinatorics , computer security , operating system
This paper presents a resolution of the paradox proposed by the example of an economy with complette markets and a multiplicityof 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.