A Computational Approach to the Fundamental Theorem of Asset Pricing in a Single-Period Market.

We provide a new approach to the Fundamental Theorem of Asset Pricing based on the relation between the projection problem and equivalent least squares problem. More precisely, we use an iterative procedure in order to obtain solutions of a bounded least square problem. Under some conditions, this solution will give either the state price vector or the arbitrage opportunity of the problem under consideration. Copyright 2001 by Kluwer Academic Publishers