On the fundamental theorem of asset pricing: Random constraints and bang-bang no-arbitrage criteria

Igor V. Evstigneev; Klaus Schürger; Michael I. Taksar

doi:10.1111/j.0960-1627.2004.00189.x

On the fundamental theorem of asset pricing: Random constraints and bang-bang no-arbitrage criteria

Igor V. Evstigneev, Klaus Schürger, Michael I. Taksar

Economics

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	201-221
Number of pages	20
Journal	Mathematical Finance
Volume	14
Issue number	2
DOIs	https://doi.org/10.1111/j.0960-1627.2004.00189.x
Publication status	Published - Apr 2004

Keywords

Bang-bang control
No-arbitrage criteria
Portfolio constraints
Supermartingale measures

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Cite this

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KW - Bang-bang control

KW - No-arbitrage criteria

KW - Portfolio constraints

KW - Supermartingale measures

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JF - Mathematical Finance

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On the fundamental theorem of asset pricing: Random constraints and bang-bang no-arbitrage criteria

Abstract

Keywords

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