APPROXIMATE COMPLETENESS WITH MULTIPLE MARTINGALE MEASURES

DOI10.1111/J.1467-9965.1995.TB00098.XMaRDI QIDQ3125788zbMATH OpenOpenAlexFDO

Authors Philippe Artzner, David Heath

Publication date 1 October 1997

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1995.tb00098.x

zbMATH Keywords

arbitrage pricingequilibriumequivalent martingale measurecomplete marketstable spaceviable

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cites work

• scientific article; zbMATH DE number 4034749 (Why is no real title available?)
• scientific article; zbMATH DE number 50702 (Why is no real title available?)
• A stochastic calculus model of continuous trading: Complete markets
• Arbitrage and equilibrium in economies with infinitely many commodities
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Efficient funds for meager asset spaces
• MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• On complete securities markets and the martingale property of securities prices
• �tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales

Cited in

(15)

• A note on completeness in large financial markets
• Pricing and valuation under the real-world measure
• A secret to create a complete market from an incomplete market
• On the existence of martingale measures satisfying the weakened condition of noncoincidence of barycenters in the case of countable probability space
• Completeness of securities market models -- an operator point of view
• Approximation theorems for stochastic economies with incomplete markets
• A measure-theoretic approach to completeness of financial markets
• OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
• A partial introduction to financial asset pricing theory.
• The second fundamental theorem of asset pricing
• On the probability of completeness for large markets
• Universal and complete sets in martingale theory
• Actuarial bridges to dynamic hedging and option pricing
• Arbitrage and completeness in financial markets with given N-dimensional distributions
• A note on extremality and completeness in financial markets with infinitely many risky assets

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