On incompleteness of bond markets with infinite number of random factors
classification
💱 q-fin.CP
math.PR
keywords
bondinfinitemarketnumberboundedclaimcompletecompleteness
read the original abstract
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 is not complete. A construction of a bounded contingent claim, which can not be replicated, is provided.
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