A measure-theoretic approach to completeness of financial markets
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.
Volume (Year): 68 (2004)
Issue (Month): 1 (June)
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- 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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