ON THE FUNDAMENTAL THEOREM OF ASSET PRICING: RANDOM CONSTRAINTS AND BANG-BANG NO-ARBITRAGE CRITERIA

摘要

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.