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arXiv · 0909.2341

Generalized integrands and bond portfolios: Pitfalls and counter examples

Erik Taflin
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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 $+\infty$ 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 $[-\infty,\infty].$

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Erik Taflin. 2009-09-12. Generalized integrands and bond portfolios: Pitfalls and counter examples. https://doi.org/10.1214/10-aap694

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