The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions

DOI10.1214/12-AAP914zbMath1290.91166arXiv1012.3102MaRDI QIDQ2443185

Sergio Pulido

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

zbMATH Keywords

asset pricing; financial markets; fundamental theorem of asset pricing; hedging problem; maximal claims; supermartingale measures; short sales prohibitions

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60G48: Generalizations of martingales

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Insiders and Their Free Lunches: The Role of Short Positions, A revised option pricing formula with the underlying being banned from short selling, THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS, Supermartingales as Radon-Nikodym densities and related measure extensions, Exploiting arbitrage requires short selling, Robust pricing and hedging under trading restrictions and the emergence of local martingale models, Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices, Arbitrage-free pricing of derivatives in nonlinear market models, A Mathematical Theory of Financial Bubbles, A convex duality approach for pricing contingent claims under partial information and short selling constraints, Informational Efficiency under Short Sale Constraints

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