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Hedging contingent claims on semimartingales

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Author Info

  • Robert Jarrow

    (Johnson Graduate School of Management, Cornell University, Ithaca, NY 14853, USA)

  • Dilip B. Madan

    ()
    (College of Business and Management, University of Maryland, College Park, MD 20742, USA Manuscript)

Abstract

This paper extends the known results on the equivalence between market completeness and the uniqueness of martingale measures for finite asset economies, to the infinite asset case. Our arguments employ results from the theory of linear operators between locally convex topological vector spaces. This theory of linear operators provides an operational approach to the issue of completeness and uniqueness, that is also more closely connected with the mainstream of empirical asset pricing, than was hitherto available.

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Bibliographic Info

Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 3 (1999)
Issue (Month): 1 ()
Pages: 111-134

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Handle: RePEc:spr:finsto:v:3:y:1999:i:1:p:111-134

Note: received: December 1996; final version received: December 1997
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Related research

Keywords: Completeness; uniqueness; martingale measures; asset pricing theory;

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Cited by:
  1. Gerald H.L. Cheang & Carl Chiarella, 2008. "Hedge Portfolios in Markets with Price Discontinuities," Research Paper Series 218, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Morten Christensen & Eckhard Platen, 2004. "A General Benchmark Model for Stochastic Jump Sizes," Research Paper Series 139, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Björk, T. & Kabanov, Y. & Runggaldier, W., 1995. "Bond markets where prices are driven by a general marked point process," Working Paper Series in Economics and Finance 88, Stockholm School of Economics.

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