THE FUNDAMENTAL THEOREM OF ASSET PRICING, THE HEDGING PROBLEM AND MAXIMAL CLAIMS IN FINANCIAL MARKETS WITH SHORT SALES PROHIBITIONS

• 成果类型: Article
• 署名作者: Pulido, Sergio
• 署名单位: Carnegie Mellon University
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/12-AAP914
• 发表日期: 2014
• 页码: 54-75
• 关键词: CONTINGENT CLAIMS; cone constraints; portfolio; models; WORLD

摘要

This paper consists of two parts. In the first part we prove the fundamental theorem of asset pricing under short sales prohibitions in continuoustime financial models where asset prices are driven by nonnegative, locally bounded semimartingales. A key step in this proof is an extension of a wellknown 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.