A Characterization of Complete Security Markets On A Brownian Filtration
This paper provides a characterization theorem for a complete securities market when security prices follow Itô 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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Volume (Year): 1 (1991)
Issue (Month): 3 ()
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