Evstigneev, Igor V.; Schürger, Klaus; Taksar, Michael I. - University of Bonn, Germany - 2002
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...
