The second fundamental theorem of asset pricing: A new approach

• 成果类型: Article
• 署名作者: Battig, RJ; Jarrow, RA
• 署名单位: Cornell University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/12.5.1219
• 发表日期: 1999
• 页码: 1219
• 关键词: arbitrage

摘要

This article presents a new definition of market completeness that is independent of the notions of no arbitrage and equivalent martingale measures. Our definition has many advantages, all shown herein. First, it preserves the Second Fundamental Theorem of Asset Pricing, even in complex economies. Second, under our definition, the market can be complete yet arbitrage opportunities exist. This is important in practice, and stands in contrast to the traditional definitions. Third, under the assumption of no arbitrage and when used in the standard models, our definition is equivalent to the traditional one.