Market completion with derivative securities

DOI10.1007/S00780-016-0317-ZzbMath1377.91162arXiv1506.00188OpenAlexW3102802668WikidataQ59615560 ScholiaQ59615560MaRDI QIDQ503398

Daniel C. Schwarz

Publication date: 12 January 2017

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.00188

zbMATH Keywords

martingalesintegral representationanalytic functionsparabolic equationsJacobian determinantmarket completenessderivative securities

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

Related Items (8)

Equilibrium Pricing Under Relative Performance Concerns ⋮ Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty ⋮ Option spanning beyond \(L_p\)-models ⋮ Arbitrage-Free Neural-SDE Market Models ⋮ Asset price bubbles, wealth preserving, dominating, and replicating trading strategies ⋮ Existence of an equilibrium with limited participation ⋮ Density of the set of probability measures with the martingale representation property ⋮ Radner equilibrium and systems of quadratic BSDEs with discontinuous generators

Cites Work

• Existence of financial equilibria in continuous time with potentially complete markets
• Higher order derivatives and perturbation bounds for determinants
• A stochastic calculus model of continuous trading: Complete markets
• Integral representation of martingales motivated by the problem of endogenous completeness in financial economics
• Multidimensional diffusion processes.
• Contingent Claims and Market Completeness in a Stochastic Volatility Model
• Endogenous Completeness of Diffusion Driven Equilibrium Markets
• Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets
• Market completion using options
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