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

DOI10.1214/12-AAP914zbMath1290.91166arXiv1012.3102OpenAlexW3105649040MaRDI 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 pricingfinancial marketsfundamental theorem of asset pricinghedging problemmaximal claimssupermartingale measuresshort sales prohibitions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

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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