The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions

Sergio Pulido

Papers from arXiv.org

Abstract: This paper consists of two parts. In the first part we prove the fundamental theorem of asset pricing under short sales prohibitions in continuous-time financial models where asset prices are driven by nonnegative, locally bounded semimartingales. A key step in this proof is an extension of a well-known result of Ansel and Stricker. In the second part we study the hedging problem in these models and connect it to a properly defined property of "maximality" of contingent claims.

Date: 2010-12, Revised 2014-01
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Citations: View citations in EconPapers (13)

Published in Annals of Applied Probability 2014, Vol. 24, No. 1, 54-75

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1012.3102

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