Wong, Bernard; Heyde, C C
We consider an incomplete market model where asset prices are modelled by Ito processes, and derive the first fundamental theorem of asset pricing using standard stochastic calculus techniques. This contrasts with the sophisticated functional analytic theorems required in the comprehensive works of F. Delbaen and W. Schachermayer (1993) No Arbitrage and the Fundamental Theorem of Asset Pricing, pp. 37-38; Math. Finance 4 (1994), pp. 343-348; Math. Ann. 300 (1994), pp. 464-520; Ann. Appl....[Show more]
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