Courtault, Jean-Michel; Delbaen, Freddy; Kabanov, Yuri; … - In: Finance and Stochastics 8 (2004) 4, pp. 525-530
We consider the standard discrete-time model of a frictionless financial market and show that the law of one price holds if and only if there exists a martingale density process with strictly positive initial value. In contrast to the classical no-arbitrage criteria, this density process may...
