[ Home page ]   [ Publications and Preprints ]   [ Curriculum vitae ]

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]


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.


[PostScript (192 k)] [PS.gz (75 k)] [PDF (226 k)]

Publications marked with [R] have appeared in refereed journals.

[ Home page ]   [ Publications and Preprints ]   [ Curriculum vitae ] [ Publications adressed to a wider audience ]

Last modification of static code: 2016-11-18
Last modification of list of publications: 2017-07-31