A note on completeness in large financial markets

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6 Citazioni (Scopus)

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.
Lingua originaleEnglish
pagine (da-a)295-315
Numero di pagine21
RivistaMathematical Finance
Volume14
DOI
Stato di pubblicazionePubblicato - 2004

Keywords

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

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