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arXiv · 0812.1796

Completeness of bond market driven by Lévy process

Michał Barski·Jerzy Zabczyk
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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 Lévy measure consists of a finite number of points. Explicit constructions of contingent claims which can not be replicated are provided.

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BibTeXRIS

Michał Barski, Jerzy Zabczyk. 2016-01-06. Completeness of bond market driven by Lévy process. https://arxiv.org/abs/0812.1796

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