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Options and Efficiency in Spaces of Bounded Claims

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Author Info
Galvani, Valentina () (University of Alberta, Department of Economics)
Troitsky, Vladimir () (University of Alberta)

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Abstract

Supplementing a finite state-space static securities market with options obtains market completeness. This study concludes that options maintain the same spanning power in the space of bounded payoff topologized by its duality with the space of the state price densities.

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File URL: http://www.uofaweb.ualberta.ca/economics2/pdfs/WP2009-04-Galvani.pdf
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Publisher Info
Paper provided by University of Alberta, Department of Economics in its series Working Papers with number 2009-4.

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Length: 25 pages
Date of creation: 01 Jan 2009
Date of revision:
Handle: RePEc:ris:albaec:2009_004

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Web page: http://www.uofaweb.ualberta.ca/economics/
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Related research
Keywords: spanning; options; market completeness; efficiency;

Find related papers by JEL classification:
C00 - Mathematical and Quantitative Methods - - General - - - General
D61 - Microeconomics - - Welfare Economics - - - Allocative Efficiency; Cost-Benefit Analysis
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G19 - Financial Economics - - General Financial Markets - - - Other

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This page was last updated on 2009-11-26.

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