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Dynamic versus one-period completeness in event-tree security markets

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Abstract

We show that in event-tree security markets dynamic completeness does not coincide with one-period completeness unless the law of one price is explicitely assumed. We do so by means of a simple example of a dynamically complete market with an incomplete one-period sub-market.

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References

  • Battauz, A., Ortu, F.: Dynamic versus one-period completeness in event-tree security markets. Working paper N. 34, Istituto di Metodi Quantitativi, Università Bocconi (2005)

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Authors and Affiliations

  1. Istituto di Metodi Quantitativi, Università Bocconi, Milano, Italy

    Anna Battauz

  2. Istituto di Metodi Quantitativi and IGIER, Università Bocconi, V. le Isonzo 25, 20135, Milano, Italy

    Fulvio Ortu

Authors
  1. Anna Battauz
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  2. Fulvio Ortu
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Correspondence to Fulvio Ortu.

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Battauz, A., Ortu, F. Dynamic versus one-period completeness in event-tree security markets. Economic Theory 30, 191–193 (2007). https://doi.org/10.1007/s00199-005-0050-x

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  • DOI: https://doi.org/10.1007/s00199-005-0050-x

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