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- W2163885310 abstract "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." @default.
- W2163885310 created "2016-06-24" @default.
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- W2163885310 date "2015-05-04" @default.
- W2163885310 modified "2023-09-27" @default.
- W2163885310 title "On statistical indistinguishability of complete and incomplete discrete time market models" @default.
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