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Dynamic versus one-period completeness in event-tree security markets |
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| Authors: | Anna Battauz Fulvio Ortu |
| Institution: | (1) Istituto di Metodi Quantitativi, Università Bocconi, Milano, Italy;(2) Istituto di Metodi Quantitativi and IGIER, Università Bocconi, V. le Isonzo 25, 20135 Milano, Italy |
| 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. |
| Keywords: | Event-tree security markets Dynamic completeness One-period completeness Law of one price |
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