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

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Bonn Econ Discussion Papers ; No. 24/2002

Classification and Topics

• Classification: Wirtschaft ; Contingent Pricing; Futures Pricing; option pricing ; Asset Pricing; Trading Volume; Bond Interest Rates ; Market Structure, Pricing, and Design: General
• Subject: no arbitrage criteria ; portfolio constraints ; supermartingale measures ; bang-bang control ; Capital Asset Pricing Model ; Portfolio-Management ; Martingale ; Kontrolltheorie ; Arbitrage Pricing ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Evstigneev, Igor V. ; Schürger, Klaus ; Taksar, Michael I.
• Event: Veröffentlichung
• (who): University of Bonn, Bonn Graduate School of Economics (BGSE)
• (where): Bonn
• (when): 2002

Further information

• Handle: http://hdl.handle.net/10419/22845
• Last update: 10.03.2025, 11:43 AM CET