## The Annals of Applied Probability

- Ann. Appl. Probab.
- Volume 24, Number 1 (2014), 54-75.

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

#### 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.

#### Article information

**Source**

Ann. Appl. Probab., Volume 24, Number 1 (2014), 54-75.

**Dates**

First available in Project Euclid: 9 January 2014

**Permanent link to this document**

https://projecteuclid.org/euclid.aoap/1389278719

**Digital Object Identifier**

doi:10.1214/12-AAP914

**Mathematical Reviews number (MathSciNet)**

MR3161641

**Zentralblatt MATH identifier**

1290.91166

**Subjects**

Primary: 60H05: Stochastic integrals 60H30: Applications of stochastic analysis (to PDE, etc.)

**Keywords**

Fundamental theorem of asset pricing hedging problem maximal claims supermartingale measures short sales prohibition

#### Citation

Pulido, Sergio. The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions. Ann. Appl. Probab. 24 (2014), no. 1, 54--75. doi:10.1214/12-AAP914. https://projecteuclid.org/euclid.aoap/1389278719