Complete Markets and Martingale Representation

  • Robert J. Elliott
  • P. Ekkehard Kopp
Part of the Springer Finance book series (FINANCE)


Our objective in this chapter is to study completeness of the market model. We continue to restrict attention to finite market models: although our initial results can be stated in a more general framework, the proofs we give rely heavily on the finite nature of the model, and we show in the later sections that completeness depends strongly on the fine structure of the filtrat ions, a feature that is not easily formulated for more general models.


Market Model Contingent Claim Random Walk Model Predictable Process Complete Market 
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Copyright information

© Springer Science+Business Media New York 1999

Authors and Affiliations

  • Robert J. Elliott
    • 1
  • P. Ekkehard Kopp
    • 2
  1. 1.Department of Mathematical SciencesUniversity of AlbertaEdmontonCanada
  2. 2.Pro-Vice-Chancellors’ OfficeThe University of HullHullUK

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