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Article Dans Une Revue The Annals of Applied Probability Année : 2014

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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Résumé

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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Dates et versions

hal-02265271 , version 1 (09-08-2019)

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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. The Annals of Applied Probability, 2014, 24 (1), pp.54-75. ⟨10.1214/12-AAP914⟩. ⟨hal-02265271⟩

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