论文信息 - A Characterization of Complete Security Markets On A Brownian Filtration1

A Characterization of Complete Security Markets On A Brownian Filtration1

This paper provides a characterization theorem for a complete securities market when security prices follow Ito 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 Muller (1989).

Robert A. Jarrow | Dilip B. Madan | R. Jarrow | D. Madan

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