The paper investigates quadratic hedging in a general semimartingale market that does not necessarily contain a risk-free asset. An equivalence result for hedging with and without numeraire change is established. This permits direct computation of the optimal strategy without choosing a...

The law of one price (LOP) broadly asserts that identical financial flows should command the same price. This paper uncovers a new mechanism through which LOP can fail in a continuous-time L2(P) setting without frictions, namely "trading from just before a predictable stopping time," which...