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Mathematical Finance Letters ISSN 2051-2929

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Math. Finance Lett. 2015 (2015), Article ID 4

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

Werner Huerlimann

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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.

Published
26 June 2015
Volume
2015 (2015)
License
CC BY 3.0

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.

Cite this article

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

BibTeX
@article{Huerlimann2015,
  author  = {Huerlimann, Werner},
  title   = {An elementary linear functional approach to the fundamental theorem of asset pricing},
  journal = {Math. Finance Lett.},
  volume  = {2015},
  year    = {2015},
  pages   = {4},
  doi     = {}
}