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Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets

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  • Girotto, Bruno
  • Ortu, Fulvio

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  • Girotto, Bruno & Ortu, Fulvio, 1997. "Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets," Journal of Mathematical Economics, Elsevier, vol. 27(3), pages 283-294, April.
    • Handle: RePEc:eee:mateco:v:27:y:1997:i:3:p:283-294
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    References listed on IDEAS

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    1. Harrison, J. Michael & Pliska, Stanley R., 1983. "A stochastic calculus model of continuous trading: Complete markets," Stochastic Processes and their Applications, Elsevier, vol. 15(3), pages 313-316, August.
    2. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
    3. Girotto, Bruno & Ortu, Fulvio, 1996. "Existence of Equivalent Martingale Measures in Finite Dimensional Securities Markets," Journal of Economic Theory, Elsevier, vol. 69(1), pages 262-277, April.
    4. Huang, Chi-fu, 1985. "Information structures and viable price systems," Journal of Mathematical Economics, Elsevier, vol. 14(3), pages 215-240, June.
    5. Long, John Jr., 1990. "The numeraire portfolio," Journal of Financial Economics, Elsevier, vol. 26(1), pages 29-69, July.
    6. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    7. Dothan, Michael U., 1990. "Prices in Financial Markets," OUP Catalogue, Oxford University Press, number 9780195053128, Decembrie.
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    Cited by:

    1. Silvia Florio & Wolfgang Runggaldier, 1999. "On hedging in finite security markets," Applied Mathematical Finance, Taylor & Francis Journals, vol. 6(3), pages 159-176.

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