We construct Zero-Coupon Bond markets driven by a cylindrical Brownian motion in which the notion of generalized portfolio has important flaws: There exist bounded smooth random variables with generalized hedging portfolios for which the price of their risky part is +∞ at each time. For these generalized portfolios, sequences of the prices of the risky part of approximating portfolios can be made to converges to any given extended real number in [−∞, ∞].
Publié le : 2011-02-15
Classification:
Complete markets,
bond markets,
generalized integrands,
generalized portfolios,
replication,
60H05,
60G44,
91B28,
91B70
@article{1292598034,
author = {Taflin, Erik},
title = {Generalized integrands and bond portfolios: Pitfalls and counter examples},
journal = {Ann. Appl. Probab.},
volume = {21},
number = {1},
year = {2011},
pages = { 266-282},
language = {en},
url = {http://dml.mathdoc.fr/item/1292598034}
}
Taflin, Erik. Generalized integrands and bond portfolios: Pitfalls and counter examples. Ann. Appl. Probab., Tome 21 (2011) no. 1, pp. 266-282. http://gdmltest.u-ga.fr/item/1292598034/