An elementary proof of the Dalang–Morton–Willinger theorem
Volume 34 / 2007
Applicationes Mathematicae 34 (2007), 383-388
MSC: 60G42, 91B28.
DOI: 10.4064/am34-4-1
Abstract
L. C. G. Rogers has given an elementary proof of the fundamental theorem of asset pricing in the case of finite discrete time, due originally to Dalang, Morton and Willinger. The purpose of this paper is to give an even simpler proof of this important theorem without using the existence of regular conditional distribution, in contrast to Rogers' proof.
