Author: De Donno M.

Source: Mathematical Finance, Volume 14, Number 2, April 2004 , pp. 295-315(21)

Publisher: Wiley-Blackwell

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 submarkets, 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.

Keywords: large financial market; self-financing portfolio; completeness; factor models; cylindrical stochastic integration

Document Type: Research article

DOI: http://dx.doi.org/10.1111/j.0960-1627.2004.00193.x

Publication date: 2004-04-01

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