Hedging contingent claims on semimartingales

Robert Jarrow () and Dilip B. Madan ()
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Dilip B. Madan: College of Business and Management, University of Maryland, College Park, MD 20742, USA Manuscript

Finance and Stochastics, 1999, vol. 3, issue 1, 134 pages

Abstract: This paper extends the known results on the equivalence between market completeness and the uniqueness of martingale measures for finite asset economies, to the infinite asset case. Our arguments employ results from the theory of linear operators between locally convex topological vector spaces. This theory of linear operators provides an operational approach to the issue of completeness and uniqueness, that is also more closely connected with the mainstream of empirical asset pricing, than was hitherto available.

Keywords: Completeness; uniqueness; martingale measures; asset pricing theory (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 1998-11-17
Note: received: December 1996; final version received: December 1997
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Citations: View citations in EconPapers (5)

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