A Characterization of Complete Security Markets On A Brownian Filtration1

DOI10.1111/J.1467-9965.1991.TB00014.XMaRDI QIDQ4345913zbMATH OpenOpenAlexFDO

Authors 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 marketsmultidimensional Brownian filtrationsunique martingale measures

Mathematics Subject Classification ID

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Cites work

• A stochastic calculus model of continuous trading: Complete markets
• Calcul stochastique et problèmes de martingales
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• Martingales and stochastic integrals in the theory of continuous trading
• On complete securities markets and the martingale property of securities prices

Cited in

(9)

• On complete securities markets and the martingale property of securities prices
• Dynamically complete markets under Brownian motion
• 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
• On incompleteness of bond markets with infinite number of random factors
• Toward A Convergence Theory For Continuous Stochastic Securities Market Models¹
• The European options hedge perfectly in a Poisson-Gaussian stock market model
• The Jacod-Yor theorem for sigma martingales and the second fundamental

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