A Simple Counterexample to Several Problems in the Theory of Asset Pricing

• 1 January 1998
• journal article
• Published by Wiley in Mathematical Finance
• Vol. 8  (1) , 1-11
• https://doi.org/10.1111/1467-9965.00041

Abstract

Keywords

• MARTINGALE
• LOCAL MARTINGALE
• EQUIVALENT MARTINGALE MEASURE
• STOCHASTIC INTEGRATION
• MATHEMATICAL FINANCE