In Tomas Björk's Arbitrage Theory in Continuous Time I found this Meta-Theorem:

enter image description here

What does it mean "meta-Theorem"? That it cannot be proved and that this is only such an indication as to whether the model is arbitrary-free and complete? I would like to justify that the Merton jump diffusion model and the CGMY model are incomplete, can I refer to this meta-theorem?

  • 3
    $\begingroup$ The results of this ''theorem'' is also known as fundamental theorem of asset pricing. In the paragraph immediately above Theorem 8.3.1, Björk admits ''we cannot formulate and prove a precise result here''. Björk refers to chapters 10 and 14 where more accurate statements are given and proven. Keep reading :) Theorem 8.3.1 is just a nice (discrete) intuitive overview. Chapter 10 ends with a summary ''for the working economist''. $\endgroup$ – Kevin Aug 6 at 21:08

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.