The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
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Publication:2443185
DOI10.1214/12-AAP914zbMath1290.91166arXiv1012.3102OpenAlexW3105649040MaRDI QIDQ2443185
Publication date: 4 April 2014
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1012.3102
asset pricingfinancial marketsfundamental theorem of asset pricinghedging problemmaximal claimssupermartingale measuresshort sales prohibitions
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Related Items (11)
Robust pricing and hedging under trading restrictions and the emergence of local martingale models ⋮ Informational Efficiency under Short Sale Constraints ⋮ Insiders and Their Free Lunches: The Role of Short Positions ⋮ Exploiting arbitrage requires short selling ⋮ A convex duality approach for pricing contingent claims under partial information and short selling constraints ⋮ A revised option pricing formula with the underlying being banned from short selling ⋮ Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices ⋮ Supermartingales as Radon-Nikodym densities and related measure extensions ⋮ Arbitrage-free pricing of derivatives in nonlinear market models ⋮ A Mathematical Theory of Financial Bubbles ⋮ THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS
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