Options and Efficiency in Spaces of Bounded Claims
AbstractSupplementing 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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Bibliographic InfoPaper provided by University of Alberta, Department of Economics in its series Working Papers with number 2009-4.
Length: 25 pages
Date of creation: 01 Jan 2009
Date of revision:
spanning; options; market completeness; efficiency;
Other versions of this item:
- 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.
- 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; Trading Volume; Bond Interest Rates
- G19 - Financial Economics - - General Financial Markets - - - Other
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-02-14 (All new papers)
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.:
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