Mercurio, Fabio; Vorst, Ton - In: Applied Mathematical Finance 3 (1996) 2, pp. 135-158
We introduce trading restrictions in the well known Black-Scholes model and Cox-Ross-Rubinstein model, in the sense that hedging is only allowed at some fixed trading dates. As a consequence, the financial market is incomplete in both modified models. Applying Schweizer's (and Schal's)...