A Characterization of Complete Security Markets On A Brownian Filtration

This paper provides a characterization theorem for a complete securities market when security prices follow Itô processes on a multidimensional Brownian filtration. This characterization theorem is a special case of Harrison and Pliska (1983), and it clarifies a counterexample provided by Müller (1989). Copyright 1991 Blackwell Publishers.

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Year of publication:	1991
Authors:	Jarrow, Robert A. ; Madan, Dilip B.
Published in:	Mathematical Finance. - Wiley Blackwell, ISSN 0960-1627. - Vol. 1.1991, 3, p. 31-43
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008521991