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

Freddy Delbaen and Walter Schachermayer

Mathematical Finance, 1998, vol. 8, issue 1, 1-11

Abstract: 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.

Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (32)

Downloads: (external link)
https://doi.org/10.1111/1467-9965.00041

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:mathfi:v:8:y:1998:i:1:p:1-11

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0960-1627

Access Statistics for this article

Mathematical Finance is currently edited by Jerome Detemple

More articles in Mathematical Finance from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().