We study price systems consistent with no-good-deal pricing measures for given bounds on the Sharpe ratio and we introduce the definition of dynamic no-good-deal bounds and pricing measure.
The development of the theory requires a sandwich preserving extension theorem for linear operators, which we present in some generality. We then show how this result can be applied to obtain static and dynamic no-good-deal pricing measures. If time permits, we can also provide other examples of reasonably restricted classes of equivalent martingale measures that can be obtained.
The presentation is based on a paper with Dr. Jocelyne Bion-Nadal (CNRS-Ecole Polytechnique, France).