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On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria
Author(s) -
Evstigneev Igor V.,
Schürger Klaus,
Taksar Michael I.
Publication year - 2004
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/j.0960-1627.2004.00189.x
Subject(s) - fundamental theorem of asset pricing , mathematical economics , arbitrage , arbitrage pricing theory , economics , asset (computer security) , portfolio , investment theory , bang–bang control , risk neutral measure , capital asset pricing model , financial economics , mathematical optimization , mathematics , computer science , optimal control , computer security
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.