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A measure-theoretic approach to completeness of financial markets

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  • Irle, A.

Abstract

It is shown that a discrete-time model for a financial market, consisting of a bond and a stock, already is a Cox-Ross-Rubinstein model if call options expiring at the last trading day have a unique martingale price. The proof uses simple measure-theoretic arguments.

Suggested Citation

  • Irle, A., 2004. "A measure-theoretic approach to completeness of financial markets," Statistics & Probability Letters, Elsevier, vol. 68(1), pages 1-7, June.
  • Handle: RePEc:eee:stapro:v:68:y:2004:i:1:p:1-7
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    References listed on IDEAS

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    1. J. Jacod & A.N. Shiryaev, 1998. "Local martingales and the fundamental asset pricing theorems in the discrete-time case," Finance and Stochastics, Springer, vol. 2(3), pages 259-273.
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