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hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
hal.structure.identifierLaboratoire de Finance des Marchés d'Energie [FiME Lab]
dc.contributor.authorCampi, Luciano
dc.date.accessioned2018-02-22T11:12:36Z
dc.date.available2018-02-22T11:12:36Z
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17463
dc.language.isoenen
dc.subjectPrice Processen
dc.subjectRisky Asseten
dc.subjectTrading Strategyen
dc.subjectOption Priceen
dc.subjectProbability Measureen
dc.subject.ddc519en
dc.titleArbitrage and completeness in financial markets with given N-dimensional distributionsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIn this paper, we focus on the following problem: given a financial market, modelled by a process S=(St)t∈T, and a family MN={μt1,…,tN:t1,…,tN∈T} of probability measures on B(RN), with N a positive integer and T the time space, we search for financially meaningful conditions which are equivalent to the existence and uniqueness of an equivalent (local) martingale measure (EMM) Q such that the price process S has under Q the pre-specified finite-dimensional distributions of order N (N-dds) MN. We call these two equivalent properties, respectively, N -mixed no free lunch and market N -completeness. They are based on a classification of contingent claims with respect to their path-dependence on S and on the related notion of N-mixed strategy. Finally, we apply this approach to the Black-Scholes model with jumps, by showing a uniqueness result for its equivalent martingale measures set.en
dc.relation.isversionofjnlnameDecisions in Economics and Finance;1593-8883
dc.relation.isversionofjnlvol27en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2004-08
dc.relation.isversionofjnlpages57–80en
dc.relation.isversionofdoi10.1007/s10203-004-0044-3en
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
hal.author.functionaut


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