A Characterization of Complete Security Markets On A Brownian Filtration
AbstractThis paper provides a characterization theorem for a complete securities market when security prices follow It� processes on a multidimensional Brownian filtration. This characterization theorem is a special case of Harrison and Pliska (1983), and it clarifies a counterexample provided by Müller (1989). Copyright 1991 Blackwell Publishers.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Mathematical Finance.
Volume (Year): 1 (1991)
Issue (Month): 3 ()
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- Jaime A. Londo\~no, 2003. "State Tameness: A New Approach for Credit Constrains," Papers math/0305274, arXiv.org, revised Feb 2004.
- C. Mancini, 2002. "The European options hedge perfectly in a Poisson-Gaussian stock market model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(2), pages 87-102.
- Michal Baran & Jacek Jakubowski & Jerzy Zabczyk, 2008. "On incompleteness of bond markets with infinite number of random factors," Papers 0809.2270, arXiv.org.
- Frank Milne & Dilip Madan, 1994.
"Contingent Claims Valued And Hedged By Pricing And Investing In A Basis,"
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- Dilip B. Madan & Frank Milne, 1994. "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Mathematical Finance, Wiley Blackwell, vol. 4(3), pages 223-245.
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