Premium
APPROXIMATE COMPLETENESS WITH MULTIPLE MARTINGALE MEASURES
Author(s) -
Artzner Philippe,
Heath David
Publication year - 1995
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/j.1467-9965.1995.tb00098.x
Subject(s) - completeness (order theory) , martingale (probability theory) , mathematical economics , local martingale , mathematics , martingale pricing , economics , econometrics , financial market , finance , mathematical analysis
We construct a financial market with countably many securities for which there are two equivalent martingale measures under which the market is approximately complete. Thus, approximate completeness does not in general guarantee unique consistent prices for nonmarketed claims. the construction also produces an economy with two agents and infinitely many traded goods which is in equilibrium but has no equilibrium when a new good (recognized by all as redundant) is tentatively traded.