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

Sergio Pulido ()
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Sergio Pulido: CMU - Carnegie Mellon University [Pittsburgh]

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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.

Keywords: Fundamental theorem of asset pricing; hedging problem; maximal claims; supermartingale measures; short sales prohibition (search for similar items in EconPapers)
Date: 2014-02
Note: View the original document on HAL open archive server: https://hal.science/hal-02265271v1
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Published in The Annals of Applied Probability, 2014, 24 (1), pp.54-75. ⟨10.1214/12-AAP914⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02265271

DOI: 10.1214/12-AAP914

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