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Option spanning with exogenous information structure

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Author Info
Galvani, Valentina

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Abstract

Supplementing a finite state-space static securities market with options written on an injective claim obtains market completeness. This study concludes that options maintain this spanning property in the infinite state-space static securities market models of interest in the extant literature. In addition, underlyers for which options bring about market completeness are shown to be dense.

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File URL: http://www.sciencedirect.com/science/article/B6VBY-4SVKSVM-2/2/e01c6914405946876a5d2d6ac8d0e9c5
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Publisher Info
Article provided by Elsevier in its journal Journal of Mathematical Economics.

Volume (Year): 45 (2009)
Issue (Month): 1-2 (January)
Pages: 73-79
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Handle: RePEc:eee:mateco:v:45:y:2009:i:1-2:p:73-79

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Web page: http://www.elsevier.com/locate/jmateco

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Related research
Keywords: Option spanning Market completeness;

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This page was last updated on 2009-11-7.

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