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A Simple Counter-Example to Several Problems in the Theory of Asset Pricing (1998)

Author

Listed:
  • Freddy Delbaen

    (ETH Zürich)

  • Walter Schachermayer

    (Technische Universität Wien)

Abstract

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.

Suggested Citation

Handle: RePEc:spr:sprfcp:978-3-540-31299-4_10
DOI: 10.1007/978-3-540-31299-4_10
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