Completeness of bond market driven by L\'evy process
Probability
2016-01-08 v2 Geometric Topology
Abstract
The completeness problem of the bond market model with the random factors determined by a Wiener process and Poisson random measure is studied. Hedging portfolios use bonds with maturities in a countable, dense subset of a finite time interval. It is shown that under natural assumptions the market is not complete unless the support of the L\'evy measure consists of a finite number of points. Explicit constructions of contingent claims which can not be replicated are provided.
Cite
@article{arxiv.0812.1796,
title = {Completeness of bond market driven by L\'evy process},
author = {Michał Barski and Jerzy Zabczyk},
journal= {arXiv preprint arXiv:0812.1796},
year = {2016}
}
Comments
20 pages