Market Viability and Completeness for Multinomial Models

Nahuel I. Arca

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arXiv · 2508.13966

Market Viability and Completeness for Multinomial Models

Nahuel I. Arca

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Abstract

In this paper we aim to study viability and completeness in finite markets. In order to do that, we characterize the set of equivalent martingale measures of two-period markets as convex combinations of a finite number of martingale measures. We provide an algorithm for finding such measures, that can be applied in other problems of convex geometry, and represents the starting point for a study of such characterizations of convex sets' intersections. We apply these results to the study of a discrete-time version of the Korn-Kreer-Lenssen model, and give an example of the limitations of using discrete-time models to understand continuous-time ones.

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Nahuel I. Arca. 2026-04-03. Market Viability and Completeness for Multinomial Models. https://arxiv.org/abs/2508.13966

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