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 originale | English |
|---|---|
| pagine (da-a) | 295-315 |
| Numero di pagine | 21 |
| Rivista | Mathematical Finance |
| Volume | 14 |
| DOI | |
| Stato di pubblicazione | Pubblicato - 2004 |
Keywords
- Completeness
- Cylindrical stochastic integration
- Factor models
- Large financial market
- Self-financing portfolio