On statistical indistinguishability of complete and incomplete discrete time market models
We investigate the possibility of statistical evaluation of the market completeness for discrete time stock market models. It is known that the market completeness is not a robust property: small random deviations of the coefficients convert a complete market model into a incomplete one. The paper shows that market incompleteness is also non-robust. We show that, for any incomplete market from a wide class of discrete time models, there exists a complete market model with arbitrarily close stock prices. This means that incomplete markets are indistinguishable from the complete markets in the terms of the market statistics.
Year of publication: |
2015-05
|
---|---|
Authors: | Dokuchaev, Nikolai |
Institutions: | arXiv.org |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Dokuchaev, Nikolai, (2002)
-
Optimal solution of investment problems via linear parabolic equations generated by Kalman filter
Dokuchaev, Nikolai, (2008)
-
A paradox of diffusion market model related with existence of winning combinations of options
Dokuchaev, Nikolai, (2001)
- More ...