A Counterexample to Several Problems In the Theory of Asset Pricing

We construct a continuous bounded stochastic process ("S"<sub>t</sub>,)"<sub>1E[0,1]</sub>" which admits an equivalent martingale measure but such that the minimal martingale measure in the sense of Föllmer and Schweizer does not exist. This example also answers (negatively) a problem posed by Karatzas, Lehozcky, and Shreve as well as a problem posed by Strieker. Copyright 1993 Blackwell Publishers.

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Year of publication:	1993
Authors:	Schachermayer, Walter
Published in:	Mathematical Finance. - Wiley Blackwell, ISSN 0960-1627. - Vol. 3.1993, 2, p. 217-229
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008521913