GENERALIZED INTEGRANDS AND BOND PORTFOLIOS: PITFALLS AND COUNTER EXAMPLES

• 成果类型: Article
• 署名作者: Taflin, Erik
• 署名单位: CY Cergy Paris Universite; Ecole Internationale des Sciences du Traitement de linformation; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI)
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/10-AAP694
• 发表日期: 2011
• 页码: 266-282
• 关键词: CONTINGENT CLAIMS; MARKETS

摘要

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 +infinity 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 [-infinity, infinity].