On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria

Igor Evstigneev, Klaus Schürger and Michael I. Taksar

Mathematical Finance, 2004, vol. 14, issue 2, 201-221

Abstract: The paper generalizes and refines the Fundamental Theorem of Asset Pricing of Dalang, Morton, and Willinger (1990) in the following two respects: (a) the result is extended to a model with general portfolio constraints, and (b) versions of the no‐arbitrage criterion based on the bang‐bang principle in control theory are developed.

Date: 2004
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