Dynamic Spanning: Are Options an Appropriate Instrument?

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Dynamic Spanning: Are Options an Appropriate Instrument?

Author Info

Bajeux, I.
Rochet, J.C.

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Jean Charles Rochet

Abstract

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Paper provided by Toulouse - GREMAQ in its series Papers with number 94.329.

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Length: 24 pages
Date of creation: 1994
Date of revision:
Handle: RePEc:fth:gremaq:94.329

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Keywords: financial market;

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Eric Ghysels & Andrew Harvey & Éric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO. [Downloadable!]
Other versions:
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
- Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
A. Mele, 2000. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," THEMA Working Papers 2000-39, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
Other versions:
- Antonio Mele, 2002. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Working Papers 460, Queen Mary, University of London, Department of Economics. [Downloadable!]
- Antonio Mele, 2003. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 16(3), pages 679-716, July. [Downloadable!] (restricted)
Mele, Antonio, 2004. "General Properties of Rational Stock-Market Fluctuations," Economics Series 153, Institute for Advanced Studies. [Downloadable!]
Other versions:
- Antonio Mele, 2004. "General Properties of Rational Stock-Market Fluctuations," FMG Discussion Papers dp489, Financial Markets Group. [Downloadable!] (restricted)
- Antonio Mele, 2004. "General Properties of Rational Stock-Market Fluctuations," Econometric Society 2004 North American Summer Meetings 223, Econometric Society. [Downloadable!]
C. Mancini, 2002. "The European options hedge perfectly in a Poisson-Gaussian stock market model," Applied Mathematical Finance, Taylor and Francis Journals, vol. 9(2), pages 87-102, June. [Downloadable!] (restricted)
Alexandre Baptista, 2000. "Options and Efficiency in Multiperiod Security Markets," Econometric Society World Congress 2000 Contributed Papers 0299, Econometric Society. [Downloadable!]
E. Jouini, P.-F. Koehl, N. Touzi, 1997. "Incomplete markets, transaction costs and liquidity effects," European Journal of Finance, Taylor and Francis Journals, vol. 3(4), pages 325-347, December. [Downloadable!] (restricted)

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