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.
- Charalambos D. Aliprantis & Rabee Tourky, 2002.
"Markets That Don'T Replicate Any Option,"
Department of Economics - Working Papers Series
832, The University of Melbourne.
- 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.
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