Before revision:  We show that generically there exists an equivalent martingale measure for the clearing price , for all possible strategies of the large trader, if the driving noise is a Brownian sheet, while there may not be if the driving noise is multidimensional Brownian motion. Another contribution of this paper is to prove that, if there exists such an equivalent martingalemeasure, then, under mild conditions, there is no arbitrage. We use the Ito-Wentzell formula to obtain both results. We also characterize the dynamics of the  demand curve and of the clearing price in the equivalent martingale measure.
After revision:  We show that generically there exists an equivalent martingale measure for the clearing price is a martingale, and options can be priced under the demand curve and of the clearing price in the equivalent martingale measure.