1 2 Se p 20 08 On incompleteness of bond markets with infinite number of random factors ∗ Michał Baran
نویسندگان
چکیده
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 in the case of trading strategies is not complete. An explicit construction of a bounded contingent claim, which can not be replicated, is provided. Moreover, a new concept of generalized strategies is introduced and sufficient conditions for the market completeness with such strategies are given. An example of a complete model is provided.
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