A Counterexample to Several Problems In the Theory of Asset Pricing

Walter Schachermayer

Mathematical Finance, 1993, vol. 3, issue 2, 217-229

Abstract: We construct a continuous bounded stochastic process (St,)1E[0,1] 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.

Date: 1993
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https://doi.org/10.1111/j.1467-9965.1993.tb00089.x

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