A Counterexample to Several Problems In the Theory of Asset Pricing

DOI10.1111/J.1467-9965.1993.TB00089.XMaRDI QIDQ4372011zbMATH OpenOpenAlexWikidataFDO

Authors Walter Schachermayer

Publication date 21 January 1998

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1993.tb00089.x

zbMATH Keywords

equivalent martingale measureFöllmer-Schweizer decompositioncontinuous bounded stochastic processGirasov transformation

Mathematics Subject Classification ID

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Cites work

• Arbitrage and equilibrium in economies with infinitely many commodities
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• Hedging of contingent claims and maximum price
• MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Martingale densities for general asset prices
• Martingale laws, densities and decomposition of Föllmer-Schweizer
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Multiperiod security markets with differential information
• On the fundamental theorem of asset pricing with an infinite state space
• REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED

Cited in

(12)

• On Monotone Extension of Linear Continuous Functionals
• A general version of the fundamental theorem of asset pricing
• A Simple Counterexample to Several Problems in the Theory of Asset Pricing
• A SHOT NOISE MODEL FOR FINANCIAL ASSETS
• Martingale measures in the market with restricted information
• The minimal \(\kappa \)-entropy martingale measure
• Arbitrage and control problems in finance. A presentation
• Arbitrage possibilities in Bessel processes and their relations to local martingales
• Actuarial bridges to dynamic hedging and option pricing
• Financial Giffen goods: Examples and counterexamples
• Financial markets with a large trader
• Special issue: Arbitrage and control problems in finance

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