Resource title

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

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Resource description

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.

Resource author

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

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Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22845

Resource license

Adapt according to the presented license agreement and reference the original author.