Generalized integrands and bond portfolios: Pitfalls and counter examples
arXiv:0909.2341 · doi:10.1214/10-AAP694
Abstract
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
Published in at http://dx.doi.org/10.1214/10-AAP694 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)