A Counterexample to Several Problems In the Theory of Asset Pricing |
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| Authors: | Walter Schachermayer |
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| Institution: | Institut für Mathematik der Universität Wien, Strudlhofgasse 4, Wien, Austria. |
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| Abstract: | We construct a continuous bounded stochastic process ( S t,) 1E0,1] which admits an equivalent martingale measure but such that the minimal martingale measure in the sense of Föllmer and Schweizer does not exist. This example also answers (negatively) a problem posed by Karatzas, Lehozcky, and Shreve as well as a problem posed by Strieker. |
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| Keywords: | equivalent martingale measure Föllmer-Schweizer decomposition Girsanov transformation |
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