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Walter Schachermayer

A Counter-Example to several Problems in the Theory of Asset Pricing.

W. Schachermayer
Mathematical Finance, Vol. 3 (1993), pp. 217-229. [R]

Abstract:

We construct a continuous bounded stochastic process $(S_t)_{t\in[0,1]}$ which admits an equivalent martingale measure but such that the minimal martingale measure in the sense of F\"ollmer 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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Publications marked with [R] have appeared in refereed journals.

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