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.
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.
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Fundamental Theorem of Asset Pricing
fundamental theorem of asset pricing
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,
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well known
well-known