A Counter-example to Several Problems in the Theory of Asset Pricing
نویسنده
چکیده
We construct a continuous bounded stochastic process (St)t2[0;1] which admits an equivalent martingale measure but such that the minimal martingale measure in the sense of Follmer and Schweizer does not exist. This example also answers (negatively) a problem posed by I. Karatzas, J. P. Lehozcky and S. E. Shreve as well as a problem posed C. Stricker.
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تاریخ انتشار 1992