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Completeness Of Bond Market Driven By Lévy Process

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Author Info

  • MICHAŁ BARSKI

    ()
    (Mathematics Department, Cardinal Stefan Wyszyński University in Warsaw, Warsaw, Poland)

  • JERZY ZABCZYK

    ()
    (Institute of Mathematics, Polish Academy of Sciences, Warsaw, Poland)

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    Abstract

    The 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 Info

    Article 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 ()
    Pages: 635-656

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    Handle: RePEc:wsi:ijtafx:v:13:y:2010:i:05:p:635-656

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    Related research

    Keywords: Bond market; completeness; Lévy term structure;

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