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.
Dynamic versus one-period completeness in event-tree security markets
BATTAUZ, ANNA;ORTU, FULVIO
2007
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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