A Simple Counterexample to Several Problems in the Theory of Asset Pricing

We give an easy example of two strictly positive local martingales that fail to be uniformly integrable, but such that their product is a uniformly integrable martingale. The example simplifies an earlier example given by the second author. We give applications in mathematical finance and we show that the phenomenon is present in many incomplete markets. Copyright Blackwell Publishers 1998.

MoreLess

Year of publication:	1998
Authors:	Delbaen, Freddy ; Schachermayer, Walter
Published in:	Mathematical Finance. - Wiley Blackwell, ISSN 0960-1627. - Vol. 8.1998, 1, p. 1-11
Publisher:	Wiley Blackwell

More details

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008609933