An elementary linear functional approach to the fundamental theorem of asset pricing

Werner Huerlimann

Abstract


An elementary linear functional analytic proof of the fundamental theorem of asset pricing for the one-period model of the financial market with a finite state space is proposed. The introductory presentation is largely inspired from Pliska. It is based on a special case of the separating hyper-plane theorem. This equivalent form of the classical Hahn-Banach separation theorem is proved by means of standard tools from linear algebra, vector geometry and convex analysis.

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Published: 2015-06-26

How to Cite this Article:

Werner Huerlimann, An elementary linear functional approach to the fundamental theorem of asset pricing, Math. Finance Lett., 2015 (2015), Article ID 4

Copyright © 2015 Werner Huerlimann. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Mathematical Finance Letters

ISSN 2051-2929

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