A simple counterexample to several problems in the theory of asset pricing

被引：34

作者：

Delbaen, F ^{[1
]}

Schachermayer, W

机构：

[1] ETH Zentrum, Dept Math, CH-8092 Zurich, Switzerland

[2] Univ Vienna, Inst Stat, A-1210 Vienna, Austria

来源：

MATHEMATICAL FINANCE | 1998年 / 8卷 / 01期

关键词：

martingale; local martingale; equivalent martingale measure; stochastic integration; mathematical finance;

D O I：

10.1111/1467-9965.00041

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：1 / 11

页数：11

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