The Law of Linear Pricing and the Fundamental Theorems of Asset Pricing

摘要：

In this paper,it is presented that there is a one-to-one correspondence between linear price systems and signed measures.Arbitrage opportunities may exist in these economies when the law of linear pricing is satisfied.So,the law of linear pricing is more extensive than that of the hypothesis of no arbitrage in the market.Meanwhile,it will be seen that the law of linear pricing,which separates the notion of completeness from the notion of no arbitrage,plays an important role in the complete market.

关键词： the law of linear pricing signed measures complete markets arbitrage

作者: Meihua Geng Zhiming Jin

作者单位: Department of System Engineering and Mathematics,NUDT,410073,Hunan,China

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 167-172

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）