Characterizing Attainable Claims: A New Proof
نویسندگان
چکیده
منابع مشابه
Bond market completeness and attainable contingent claims
A general class, introduced in [5], of continuous time bond markets driven by a standard cylindrical Brownian motion W̄ in l2, is considered. We prove that there always exist non-hedgable random variables in the space D0 = ∩p≥1L and that D0 has a dense subset of attainable elements, if the volatility operator is non-degenerated a.e. Such results were proved in [1] and [2] in the case of a bond m...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2010
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1294170515