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February 2014 The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
Sergio Pulido
Ann. Appl. Probab. 24(1): 54-75 (February 2014). DOI: 10.1214/12-AAP914

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.

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Sergio Pulido. "The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions." Ann. Appl. Probab. 24 (1) 54 - 75, February 2014. https://doi.org/10.1214/12-AAP914

Information

Published: February 2014
First available in Project Euclid: 9 January 2014

zbMATH: 1290.91166
MathSciNet: MR3161641
Digital Object Identifier: 10.1214/12-AAP914

Subjects:
Primary: 60H05, 60H30

Rights: Copyright © 2014 Institute of Mathematical Statistics

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Vol.24 • No. 1 • February 2014
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