On incompleteness of bond markets with infinite number of random factors
Barski, Michał · Jakubowski, Jacek · Zabczyk, Jerzy
Original · EN
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.
English translation
This paper has no Arabic translation yet. Be the first: it takes a few seconds, and the result is stored for every future reader.