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Bond market completeness under stochastic strings with distribution-valued strategies

Author

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  • Alberto Bueno-Guerrero
  • Manuel Moreno
  • Javier F. Navas

Abstract

In stochastic string models, the bond market is complete if trading strategies are distribution-valued processes

Suggested Citation

  • Alberto Bueno-Guerrero & Manuel Moreno & Javier F. Navas, 2022. "Bond market completeness under stochastic strings with distribution-valued strategies," Quantitative Finance, Taylor & Francis Journals, vol. 22(2), pages 197-211, February.
    • Handle: RePEc:taf:quantf:v:22:y:2022:i:2:p:197-211
    DOI: 10.1080/14697688.2021.2018483
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    Cited by:

    1. Almeida, Thiago Ramos, 2024. "Estimating time-varying factors’ variance in the string-term structure model with stochastic volatility," Research in International Business and Finance, Elsevier, vol. 70(PA).
    2. Lloyd P. Blenman & Alberto Bueno-Guerrero & Steven P. Clark, 2022. "Pricing and Hedging Bond Power Exchange Options in a Stochastic String Term-Structure Model," Risks, MDPI, vol. 10(10), pages 1-17, September.

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