Spanning and completeness in markets with contingent claims
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Theory.
Volume (Year): 41 (1987)
Issue (Month): 1 (February)
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/622869
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Donald J. Brown & Stephen A. Ross, 1988.
"Spanning, Valuation and Options,"
Cowles Foundation Discussion Papers
873, Cowles Foundation for Research in Economics, Yale University.
- Aliprantis, C. D. & Brown, D. J. & Werner, J., 2000.
"Minimum-cost portfolio insurance,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 24(11-12), pages 1703-1719, October.
- Bowman, David & Faust, Jon, 1997.
"Options, Sunspots, and the Creation of Uncertainty,"
Journal of Political Economy,
University of Chicago Press, vol. 105(5), pages 957-75, October.
- David Bowman & Jon Faust, 1995. "Options, sunspots, and the creation of uncertainty," International Finance Discussion Papers 510, Board of Governors of the Federal Reserve System (U.S.).
- Galvani, Valentina, 2007. "A note on spanning with options," Mathematical Social Sciences, Elsevier, vol. 54(1), pages 106-114, July.
- Galvani, Valentina, 2007. "Underlying assets for which options complete the market," Finance Research Letters, Elsevier, vol. 4(1), pages 59-66, March.
- Alexandre Baptista, 2000. "Options and Efficiency in Multiperiod Security Markets," Econometric Society World Congress 2000 Contributed Papers 0299, Econometric Society.
- Galvani, Valentina & Troitsky, Vladimir G., 2010.
"Options and efficiency in spaces of bounded claims,"
Journal of Mathematical Economics,
Elsevier, vol. 46(4), pages 616-619, July.
- Galvani, Valentina & Troitsky, Vladimir, 2009. "Options and Efficiency in Spaces of Bounded Claims," Working Papers 2009-4, University of Alberta, Department of Economics.
- Bakshi, Gurdip & Madan, Dilip, 2000. "Spanning and derivative-security valuation," Journal of Financial Economics, Elsevier, vol. 55(2), pages 205-238, February.
- Galvani, Valentina, 2009. "Option spanning with exogenous information structure," Journal of Mathematical Economics, Elsevier, vol. 45(1-2), pages 73-79, January.
- Aliprantis, Charalambos D. & Polyrakis, Yiannis A. & Tourky, Rabee, 2002. "The cheapest hedge," Journal of Mathematical Economics, Elsevier, vol. 37(4), pages 269-295, July.
- Aliprantis, Charalambos D. & Tourky, Rabee, 2002.
"Markets that don't replicate any option,"
Elsevier, vol. 76(3), pages 443-447, August.
- Liu, Jun & Pan, Jun, 2003. "Dynamic Derivative Strategies," Working papers 4334-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Frank Milne & Dilip Madan, 1994.
"Contingent Claims Valued And Hedged By Pricing And Investing In A Basis,"
1158, Queen's University, Department of Economics.
- Dilip B. Madan & Frank Milne, 1994. "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Mathematical Finance, Wiley Blackwell, vol. 4(3), pages 223-245.
- Ioannis Polyrakis & Foivos Xanthos, 2011. "Maximal submarkets that replicate any option," Annals of Finance, Springer, vol. 7(3), pages 407-423, August.
- Christos Kountzakis & Ioannis Polyrakis, 2006. "The completion of security markets," Decisions in Economics and Finance, Springer, vol. 29(1), pages 1-21, 05.
- Baptista, Alexandre M., 2003. "Spanning with American options," Journal of Economic Theory, Elsevier, vol. 110(2), pages 264-289, June.
- Liu, Jun & Pan, Jun, 2003. "Dynamic derivative strategies," Journal of Financial Economics, Elsevier, vol. 69(3), pages 401-430, September.
- Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci, 2012. "Put-Call Parity and Market Frictions," Working Papers 447, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Robert Kohn & Oana Papazoglu-Statescu, 2006. "On the equivalence of the static and dynamic asset allocation problems," Quantitative Finance, Taylor and Francis Journals, vol. 6(2), pages 173-183.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.