Hedging contingent claims on semimartingales
type: Item
instance of: scholarly article
title: Hedging contingent claims on semimartingales
zbMATH Open document ID: 0926.60035
author: Dilip B. Madan
author: Robert A. Jarrow
published in: Finance and Stochastics
publication date: 1999-09-14T00:00:00Z
review text: The paper deals with the second fundamental theorem of asset pricing which establishes the equivalence of complete markets and the uniqueness of equivalent martingale probability measures. The authors consider the replication of cash flows under the true or statistical probability measure in an economy with infinitely many assets which may possess arbitrage opportunities. In this economy discounted asset prices are local martingales with respect to a signed and local martingale measure. The authors show that completeness is connected to the uniqueness of the signed equivalent local martingale measure. The results are illustrated by the Black-Scholes economy for a pure jump term structure model and by an economy trading a single stock and derivatives on this stock with stock driven by a Lévy process.
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 1336677
zbMATH Keywords: hedging
zbMATH Keywords: completeness
zbMATH Keywords: infinite asset case
zbMATH Keywords: equivalent sign martingale measure
reviewed by: Aleksandr D. Borisenko
MaRDI profile type: Publication
full work available at URL: s007800050054
OpenAlex ID: W1983878637
DOI: 10.1007/S007800050054
description: scientific article; zbMATH DE number 1336677