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.