Abstract

We study completeness in large financial markets, namely markets containing countably many assets. We investigate the relationship between asymptotic completeness in the global market and completeness in the finite sub-markets, under a No Arbitrage assumption. We also suggest a way to approximate a replicating strategy in the large market by finite-dimensional portfolios. Furthermore, we find necessary and sufficient conditions for completeness to hold in a factor model.
Original languageEnglish
Pages (from-to)295-315
Number of pages21
JournalMathematical Finance
Volume14
DOIs
Publication statusPublished - 2004

Keywords

  • Completeness
  • Cylindrical stochastic integration
  • Factor models
  • Large financial market
  • Self-financing portfolio

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