equivalent martingale measure is a folk theorem, see Harrison and Kreps (1979). We establish a microeconomic foundation of … martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove the existence of …

measure, describing the stochastic dynamics of the state of the market, and an equivalent martingale measure determining … prices of contingent claims. The relation between equivalent martingale measure, state prices, market price of risk and the …