This paper consists of two parts. In the first part , by building on the work of Jouini and Kallal in 26%DIFDELCMD < ]%%% , Sch\"urger in 37%DIFDELCMD < ]%%% , Frittelli in 15%DIFDELCMD < ]%%% , Pham and Touzi in 34%DIFDELCMD < ] %%% and Napp in 33%DIFDELCMD < ]%%% , 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 result in this generalization is an extension of a well known result of Ansel and Stricker in 1%DIFDELCMD < ]%%% . Additionally, and motivated by the works of F\"ollmer and Kramkov in 13%DIFDELCMD < ] %%% and Delbaen and Schachermayer in 9%DIFDELCMD < ]%%% , 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 %DIFDELCMD < ]%%% %DIFDELCMD < ]%%% %DIFDELCMD < ]%%% %DIFDELCMD < ] %%% %DIFDELCMD < ]%%% 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 %DIFDELCMD < ]%%% %DIFDELCMD < ] %%% %DIFDELCMD < ]%%% . 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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, by building on the work of Jouini and Kallal in
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26
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, Sch\"urger in
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37
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, Frittelli in
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15
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, Pham and Touzi in
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34
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and Napp in
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33
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,
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result in this generalization
step in this proof
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in
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1
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. Additionally, and motivated by the works of F\"ollmer and Kramkov in
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13
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and Delbaen and Schachermayer in
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9
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,
. In the second part