The finite-horizon discrete-time <fundamental theorem of asset pricing> states that the market has no <arbitrage> if and only if there exists a probability measure $\mathbb Q$ equivalent to $\mathbb P$ under which every integrable discounted asset price $X^i$ is a <martingale>. Such a $\mathbb Q$ is an <equivalent martingale measure>.

Solution

Past exam of the mathematics course of the University of Cambridge / 2018 / ii / Paper 3 / 29K / b / Solution

 Solution (source code)