The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
arXiv:1012.3102 · 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.
Published in at http://dx.doi.org/10.1214/12-AAP914 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)