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On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria
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Abstract
The paper generalizes and refines the Fundamental Theorem of Asset Pricing of Dalang, Morton and Willinger in the following two respects: (a) the result is extended to a model with portfolio constraints; (b) versions of the no-arbitrage criterion based on the bang-bang principle in control theory are developed.no arbitrage criteria, portfolio constraints, supermartingale measures, bang-bang control