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- W2277886610 abstract "Let $X^1,ldots, X^d$ be sigma-martingales on $(Omega,{cal F}, P)$. We show that every bounded martingale (with respect to the underlying filtration) admits an integral representation w.r.t. $X^1,ldots, X^d$ if and only if there is no equivalent probability measure (other than $P$) under which $X^1,ldots,X^d$ are sigma-martingales. From this we deduce the second fundamental theorem of asset pricing- that completeness of a market is equivalent to uniqueness of Equivalent Sigma-Martingale Measure (ESMM)." @default.
- W2277886610 created "2016-06-24" @default.
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- W2277886610 date "2015-12-12" @default.
- W2277886610 modified "2023-09-25" @default.
- W2277886610 title "On the Second Fundamental Theorem of Asset Pricing" @default.
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- W2277886610 doi "https://doi.org/10.48550/arxiv.1512.03881" @default.
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