Abstract
The paper studies discrete time mean-reverting market models. It is shown that a correct choice of initial conditions ensures existence of an equivalent martingale measure for any finite time horizon. This leads to a pricing rule for options and absence of arbitrage. Further, it is shown that this model still allows some speculative opportunities: a gain for a wide enough set of expected utilities can be achieved for a strategy that does not require any hypothesis on market parameters and does not use estimation of these parameters.
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