A stochastic calculus model of continuous trading: Complete markets
A paper by the same authors in the 1981 volume of Stochastic Processes and Their Applications presented a general model, based on martingales and stochastic integrals, for the economic problem of investing in a portfolio of securities. In particular, and using the terminology developed therein, that paper stated that every integrable contingent claim is attainable (i.e., the model is complete) if and only if every martingale can be represented as a stochastic integral with respect to the discounted price process. This paper provides a detailed proof of that result as well as the following: The model is complete if and only if there exists a unique martingale measure.
Volume (Year): 15 (1983)
Issue (Month): 3 (August)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description|
|Order Information:|| Postal: http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:15:y:1983:i:3:p:313-316. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.