Maximal submarkets that replicate any option
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Bibliographic InfoArticle provided by Springer in its journal Annals of Finance.
Volume (Year): 7 (2011)
Issue (Month): 3 (August)
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Web page: http://www.springerlink.com/link.asp?id=112370
Security markets; Replication of options; Completion by options; Positive bases; Sublattices; G10; D52; C60;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
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- Arditti, Fred D. & John, Kose, 1980. "Spanning the State Space with Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(01), pages 1-9, March.
- Brown, Donald J & Ross, Stephen A, 1991.
"Spanning, Valuation and Options,"
Springer, vol. 1(1), pages 3-12, January.
- Jacco Thijssen, 2008. "A computational study on general equilibrium pricing of derivative securities," Annals of Finance, Springer, vol. 4(4), pages 505-523, October.
- Alexandre M. Baptista, 2005. "Options And Efficiency In Multidate Security Markets," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 569-587.
- Galvani, Valentina, 2009. "Option spanning with exogenous information structure," Journal of Mathematical Economics, Elsevier, vol. 45(1-2), pages 73-79, January.
- Alexandre Baptista, 2007. "On the Non-Existence of Redundant Options," Economic Theory, Springer, vol. 31(2), pages 205-212, May.
- John, Kose, 1981. "Efficient Funds in a Financial Market with Options: A New Irrelevance Proposition," Journal of Finance, American Finance Association, vol. 36(3), pages 685-95, June.
- Aliprantis, Charalambos D. & Tourky, Rabee, 2002.
"Markets that don't replicate any option,"
Elsevier, vol. 76(3), pages 443-447, August.
- 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.
- Felipe Zurita, 2007.
"Liquidity and Market Incompleteness,"
Documentos de Trabajo
318, Instituto de Economia. Pontificia Universidad Católica de Chile..
- Ross, Stephen A, 1976. "Options and Efficiency," The Quarterly Journal of Economics, MIT Press, vol. 90(1), pages 75-89, February.
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