An elementary proof of the Dalang–Morton–Willinger theorem

Volume 34 / 2007

Armen Edigarian, Agnieszka Rygiel Applicationes Mathematicae 34 (2007), 383-388 MSC: 60G42, 91B28. DOI: 10.4064/am34-4-1


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.


  • Armen EdigarianInstitute of Mathematics
    Jagiellonian University
    Reymonta 4
    30-059 Kraków, Poland
  • Agnieszka RygielHigher Vocational School in Tarnów
    Mickiewicza 8
    33-100 Tarnów, Poland

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