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 [−∞, ∞].
Citation
Erik Taflin. "Generalized integrands and bond portfolios: Pitfalls and counter examples." Ann. Appl. Probab. 21 (1) 266 - 282, February 2011. https://doi.org/10.1214/10-AAP694
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