The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
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References listed on IDEAS
- Napp, C., 2003. "The Dalang-Morton-Willinger theorem under cone constraints," Journal of Mathematical Economics, Elsevier, vol. 39(1-2), pages 111-126, February.
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- Alexander M. G. Cox & Zhaoxu Hou & Jan Obłój, 2016. "Robust pricing and hedging under trading restrictions and the emergence of local martingale models," Finance and Stochastics, Springer, vol. 20(3), pages 669-704, July.
- Travis Fisher & Sergio Pulido & Johannes Ruf, 2017. "Financial Models with Defaultable Numéraires," Working Papers hal-01240736, HAL.
- Travis Fisher & Sergio Pulido & Johannes Ruf, 2015. "Financial Models with Defaultable Num\'eraires," Papers 1511.04314, arXiv.org, revised Oct 2017.
- Delia Coculescu & Monique Jeanblanc, 2017. "Some No-Arbitrage Rules For Converging Asset Prices under Short-Sales Constraints," Papers 1709.09252, arXiv.org.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-12-23 (All new papers)
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