• français
    • English
  • English 
    • français
    • English
  • Login
JavaScript is disabled for your browser. Some features of this site may not work without it.
BIRD Home

Browse

This CollectionBy Issue DateAuthorsTitlesSubjectsJournals BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesSubjectsJournals

My Account

Login

Statistics

View Usage Statistics

Arbitrage and completeness in financial markets with given N-dimensional distributions

Thumbnail
View/Open
Marginals-preprint.pdf (247.8Kb)
Dewey
Probabilités et mathématiques appliquées
Sujet
Price Process; Risky Asset; Trading Strategy; Option Price; Probability Measure
Journal issue
Decisions in Economics and Finance;1593-8883
Volume
27
Number
1
Publication date
08-2004
Article pages
57–80
Publisher
Springer
DOI
http://dx.doi.org/10.1007/s10203-004-0044-3
URI
https://basepub.dauphine.fr/handle/123456789/17463
Collections
  • CEREMADE : Publications
Metadata
Show full item record
Author
Campi, Luciano
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
98564 Laboratoire de Finance des Marchés d'Energie [FiME Lab]
Type
Article accepté pour publication ou publié
Abstract (EN)
In this paper, we focus on the following problem: given a financial market, modelled by a process S=(St)t∈T, and a family MN={μt1,…,tN:t1,…,tN∈T} of probability measures on B(RN), with N a positive integer and T the time space, we search for financially meaningful conditions which are equivalent to the existence and uniqueness of an equivalent (local) martingale measure (EMM) Q such that the price process S has under Q the pre-specified finite-dimensional distributions of order N (N-dds) MN. We call these two equivalent properties, respectively, N -mixed no free lunch and market N -completeness. They are based on a classification of contingent claims with respect to their path-dependence on S and on the related notion of N-mixed strategy. Finally, we apply this approach to the Black-Scholes model with jumps, by showing a uniqueness result for its equivalent martingale measures set.

  • Accueil Bibliothèque
  • Site de l'Université Paris-Dauphine
  • Contact
SCD Paris Dauphine - Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16

 Content on this site is licensed under a Creative Commons 2.0 France (CC BY-NC-ND 2.0) license.