On incompleteness of bond markets with infinite number of random factors
Abstract
The completeness of a bond market model with infinite number of sources of randomness on a finite time interval in the Heath-Jarrow-Morton framework is studied. It is proved that the market is not complete. A construction of a bounded contingent claim, which can not be replicated, is provided.
- Publication:
-
arXiv e-prints
- Pub Date:
- September 2008
- DOI:
- 10.48550/arXiv.0809.2270
- arXiv:
- arXiv:0809.2270
- Bibcode:
- 2008arXiv0809.2270B
- Keywords:
-
- Quantitative Finance - Computational Finance;
- Mathematics - Probability;
- 91B28;
- 91B26;
- 91B24;
- 91B70
- E-Print:
- 18 pages