- A COMPUTATIONAL APPROACH TO THE FUNDAMENTAL THEOREM OF ASSET PRICING IN A SINGLE-PERIOD MARKET.

Abstract

In this paper we provide a new approach to the Fundamental Theorem of As-set Pricing. The proofof this result is usually based on Projection (Separation) Theorems and is far more intuitive. Ourapproach follow the relation between the projection problem an equivalent least squares problem.More precisely, we will use and iterative procedure in order to obtain solutions of a bounded leastsquare problem. This solutions will give, under some conditions, either the state price vector orthe arbitrage opportunity of the problem under consideration.Asset Pricing; Arbitrage; Mathematical Finance