A Counterexample to Several Problems In the Theory of Asset Pricing
نویسندگان
چکیده
منابع مشابه
A Simple Counter-example to Several Problems in the Theory of Asset Pricing
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.
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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 simpliies 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.
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 1993
ISSN: 0960-1627,1467-9965
DOI: 10.1111/j.1467-9965.1993.tb00089.x