A Characterization of Complete Security Markets On A Brownian Filtration1

DOI10.1111/J.1467-9965.1991.TB00014.XzbMath0900.90048OpenAlexW1988728793MaRDI QIDQ4345913

Dilip B. Madan, Robert A. Jarrow

Publication date: 31 August 1997

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1991.tb00014.x

zbMATH Keywords

complete marketsunique martingale measuresmultidimensional Brownian filtrations

Mathematics Subject Classification ID

Related Items (6)

The European options hedge perfectly in a Poisson-Gaussian stock market model ⋮ Toward A Convergence Theory For Continuous Stochastic Securities Market Models¹ ⋮ ON INCOMPLETENESS OF BOND MARKETS WITH INFINITE NUMBER OF RANDOM FACTORS ⋮ PRICING AND VALUATION UNDER THE REAL-WORLD MEASURE ⋮ A Measure-Valued Differentiation Approach to Sensitivities of Quantiles ⋮ Enlargement of filtration and predictable representation property for semi-martingales

Cites Work

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• Calcul stochastique et problèmes de martingales
• Martingales and stochastic integrals in the theory of continuous trading
• On complete securities markets and the martingale property of securities prices
• A stochastic calculus model of continuous trading: Complete markets

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