Spanning, Valuation and Options
AbstractWe model the space of marketed assets as a Riesz space of commodities. In this setting two alternative characterizations are given of the space of continuous options on a bounded asset, [s], with limited liability. The first characterization represents every continuous option on [s] as the uniform limit of portfolios of calls on [s]. The second characterization represents an option as a continuous sum (or integral) of Arrow-Debreu securities, with respect to [s]. The pricing implications of these representations are explored. In particular, the Breeden-Littzenberger pricing formula is shown to be a direct consequence of the integral representation theorem.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by Springer in its journal Economic Theory.
Volume (Year): 1 (1991)
Issue (Month): 1 (January)
Contact details of provider:
Web page: http://link.springer.de/link/service/journals/00199/index.htm
Other versions of this item:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bick, Avi, 1982. "Comments on the valuation of derivative assets," Journal of Financial Economics, Elsevier, vol. 10(3), pages 331-345, November.
- Avi Bick., 1982. "Comments on the Valuation of Derivative Assets," Research Program in Finance Working Papers 125, University of California at Berkeley.
- Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-51, October.
- 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.
- Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
- Jarrow, Robert A., 1986. "A characterization theorem for unique risk neutral probability measures," Economics Letters, Elsevier, vol. 22(1), pages 61-65.
- Ross, Stephen A, 1978. "A Simple Approach to the Valuation of Risky Streams," The Journal of Business, University of Chicago Press, vol. 51(3), pages 453-75, July.
- Charalambos Aliprantis & Donald J. Brown & Werner, J., 1997. "Incomplete Derivative Markets and Portfolio Insurance," Cowles Foundation Discussion Papers 1126R, Cowles Foundation for Research in Economics, Yale University.
- Aliprantis, Charalambos D. & Harris, David & Tourky, Rabee, 2007.
Journal of Econometrics,
Elsevier, vol. 136(2), pages 431-456, February.
- Protter, Philip, 2001. "A partial introduction to financial asset pricing theory," Stochastic Processes and their Applications, Elsevier, vol. 91(2), pages 169-203, February.
- Aliprantis, Charalambos D. & Tourky, Rabee, 2002.
"Markets that don't replicate any option,"
Elsevier, vol. 76(3), pages 443-447, August.
- Galvani, Valentina, 2009. "Option spanning with exogenous information structure," Journal of Mathematical Economics, Elsevier, vol. 45(1-2), pages 73-79, January.
- 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.
- Galvani, Valentina, 2007. "A note on spanning with options," Mathematical Social Sciences, Elsevier, vol. 54(1), pages 106-114, July.
- 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.
- Galvani, Valentina, 2007. "Underlying assets for which options complete the market," Finance Research Letters, Elsevier, vol. 4(1), pages 59-66, March.
- Ioannis Polyrakis & Foivos Xanthos, 2011. "Maximal submarkets that replicate any option," Annals of Finance, Springer, vol. 7(3), pages 407-423, August.
- Baptista, Alexandre M., 2003. "Spanning with American options," Journal of Economic Theory, Elsevier, vol. 110(2), pages 264-289, June.
- Christos Kountzakis & Ioannis Polyrakis, 2006. "The completion of security markets," Decisions in Economics and Finance, Springer, vol. 29(1), pages 1-21, 05.
- Alexandre Baptista, 2007. "On the Non-Existence of Redundant Options," Economic Theory, Springer, vol. 31(2), pages 205-212, May.
- 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.).
- Aliprantis, Charalambos D. & Polyrakis, Yiannis A. & Tourky, Rabee, 2002. "The cheapest hedge," Journal of Mathematical Economics, Elsevier, vol. 37(4), pages 269-295, July.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).
If references are entirely missing, you can add them using this form.