摘要翻译：
本文由两部分组成。第一部分在资产价格由非负局部有界半鞅驱动的连续时间金融模型中，证明了卖空禁止下资产定价的基本定理。这个证明的关键步骤是对Ansel和Stricker的一个著名结果的推广。在第二部分中，我们研究了这些模型中的套期保值问题，并将其与一个适当定义的未定权益的“最大”性质联系起来。
---
英文标题：
《The fundamental theorem of asset pricing, the hedging problem and
  maximal claims in financial markets with short sales prohibitions》
---
作者：
Sergio Pulido
---
最新提交年份：
2014
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--
一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
--

---
英文摘要：
  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.
---
PDF链接：
https://arxiv.org/pdf/1012.3102