Pulido, Sergio, The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions, Annals of applied probability , 24(1), 2014, pp. 54-75
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.