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A Characterization of Complete Security Markets On A Brownian Filtration

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  • Robert A. Jarrow
  • Dilip B. Madan

Abstract

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.

Suggested Citation

  • Robert A. Jarrow & Dilip B. Madan, 1991. "A Characterization of Complete Security Markets On A Brownian Filtration," Mathematical Finance, Wiley Blackwell, vol. 1(3), pages 31-43.
  • Handle: RePEc:bla:mathfi:v:1:y:1991:i:3:p:31-43
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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9965.1991.tb00014.x
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    Cited by:

    1. Martin HERDEGEN & Martin SCHWEIZER, 2016. "Economically Consistent Valuations and Put-Call Parity," Swiss Finance Institute Research Paper Series 16-02, Swiss Finance Institute.
    2. 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.
    3. Micha{l} Barski & Jacek Jakubowski & Jerzy Zabczyk, 2008. "On incompleteness of bond markets with infinite number of random factors," Papers 0809.2270, arXiv.org, revised Jan 2016.
    4. 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.
    5. Jaime A. Londo~no, 2003. "State Tameness: A New Approach for Credit Constrains," Papers math/0305274, arXiv.org, revised Feb 2004.
    6. repec:dau:papers:123456789/5374 is not listed on IDEAS
    7. Gabriel Frahm, 2016. "Pricing And Valuation Under The Real-World Measure," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-39, February.
    8. Gabriel Frahm, 2013. "Pricing and Valuation under the Real-World Measure," Papers 1304.3824, arXiv.org, revised Jan 2016.

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