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Spanning with American options

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  • Baptista, Alexandre M.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Theory.

Volume (Year): 110 (2003)
Issue (Month): 2 (June)
Pages: 264-289

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Handle: RePEc:eee:jetheo:v:110:y:2003:i:2:p:264-289

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Web page: http://www.elsevier.com/locate/inca/622869

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References

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  1. Ross, Stephen A, 1976. "Options and Efficiency," The Quarterly Journal of Economics, MIT Press, vol. 90(1), pages 75-89, February.
  2. Green, Richard C. & Jarrow, Robert A., 1987. "Spanning and completeness in markets with contingent claims," Journal of Economic Theory, Elsevier, vol. 41(1), pages 202-210, February.
  3. Kahn, Charles M & Krasa, Stefan, 1993. "Non-existence and Inefficiency of Equilibria with American Options," Economic Theory, Springer, vol. 3(1), pages 169-76, January.
  4. Demange, G. & Laroque, G., 1995. "Efficiency and Options on the Market Index," DELTA Working Papers 95-17, DELTA (Ecole normale supérieure).
  5. Friesen, Peter H, 1979. "The Arrow-Debreu Model Extended to Financial Markets," Econometrica, Econometric Society, vol. 47(3), pages 689-707, May.
  6. Magill, Michael J. P. & Shafer, Wayne J., 1990. "Characterisation of generically complete real asset structures," Journal of Mathematical Economics, Elsevier, vol. 19(1-2), pages 167-194.
  7. Donald J. Brown & Stephen A. Ross, 1988. "Spanning, Valuation and Options," Cowles Foundation Discussion Papers 873, Cowles Foundation for Research in Economics, Yale University.
  8. Duffie, J Darrell & Huang, Chi-fu, 1985. "Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities," Econometrica, Econometric Society, vol. 53(6), pages 1337-56, November.
  9. Nils H. Hakansson., 1978. "Welfare Aspects of Options and Supershares," Research Program in Finance Working Papers 68, University of California at Berkeley.
  10. John Geanakoplos, 1997. "An Introduction to General Equilibrium with Incomplete Asset Markets," Levine's Working Paper Archive 1115, David K. Levine.
  11. Geanakoplos, John, 1990. "An introduction to general equilibrium with incomplete asset markets," Journal of Mathematical Economics, Elsevier, vol. 19(1-2), pages 1-38.
  12. Hakansson, Nils H, 1978. "Welfare Aspects of Options and Supershares," Journal of Finance, American Finance Association, vol. 33(3), pages 759-76, June.
  13. David M. Kreps, 1982. "Multiperiod Securities and the Efficient Allocation of Risk: A Comment on the Black-Scholes Option Pricing Model," NBER Chapters, in: The Economics of Information and Uncertainty, pages 203-232 National Bureau of Economic Research, Inc.
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Cited by:
  1. Galvani, Valentina & Troitsky, Vladimir, 2009. "Options and Efficiency in Spaces of Bounded Claims," Working Papers 2009-4, University of Alberta, Department of Economics.
  2. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2009. "Options trading activity and firm valuation," Journal of Financial Economics, Elsevier, vol. 94(3), pages 345-360, December.

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