基于Lévy过程的债券市场完备性
Completeness of bond market driven by Lévy process
摘要：
研究了随机因子由Wiener过程和Poisson随机测度确定的债券市场模型的完备性问题。对冲投资组合使用的债券到期日在有限时间间隔的可数密集子集。它表明，在自然的假设下，市场是不完全的，除非支持的Lévy措施由有限数量的点。给出了不可复制的未定权益的显式构造。
英文摘要：
The completeness problem of the bond market model with the random factors determined by a Wiener process and Poisson random measure is studied. Hedging portfolios use bonds with maturities in a countable, dense subset of a finite time interval. It is shown that under natural assumptions the market is not complete unless the support of the Lévy measure consists of a finite number of points. Explicit constructions of contingent claims which can not be replicated are provided.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
