Completeness Of Bond Market Driven By Lévy Process
AbstractThe completeness problem of the bond market model with the random factors determined by a Wiener process and Poisson random measure is studied. Hedging portfolios use bonds with maturities in a countable, dense subset of a finite time interval. It is shown that under natural assumptions the market is not complete unless the support of the Lévy measure consists of a finite number of points. Explicit constructions of contingent claims which cannot be replicated are provided.
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Bibliographic InfoArticle provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.
Volume (Year): 13 (2010)
Issue (Month): 05 ()
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Web page: http://www.worldscinet.com/ijtaf/ijtaf.shtml
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