A Simple Counter-Example to Several Problems in the Theory of Asset Pricing (1998)

Freddy Delbaen () and Walter Schachermayer ()
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Freddy Delbaen: ETH Zürich
Walter Schachermayer: Technische Universität Wien

Chapter 10 in The Mathematics of Arbitrage, 2006, pp 207-216 from Springer

Abstract: We give an easy example of two strictly positive local martingales which 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: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-540-31299-4_10

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DOI: 10.1007/978-3-540-31299-4_10

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