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Spanning the State Space with Options

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  • Arditti, Fred D.
  • John, Kose

Abstract

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Suggested Citation

  • 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.
  • Handle: RePEc:cup:jfinqa:v:15:y:1980:i:01:p:1-9_00
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    Cited by:

    1. Tian, Weidong, 2014. "Spanning with indexes," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 111-118.
    2. Liu, Jun & Pan, Jun, 2003. "Dynamic derivative strategies," Journal of Financial Economics, Elsevier, vol. 69(3), pages 401-430, September.
    3. Wi Saeng Kim & Colin M. Young, 1991. "The Effect Of Traded Option Introduction On Shareholder Wealth," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(2), pages 141-151, June.
    4. Ioannis Polyrakis & Foivos Xanthos, 2011. "Maximal submarkets that replicate any option," Annals of Finance, Springer, vol. 7(3), pages 407-423, August.
    5. Bertrand, Philippe & Prigent, Jean-luc, 2016. "Equilibrium of financial derivative markets under portfolio insurance constraints," Economic Modelling, Elsevier, vol. 52(PA), pages 278-291.
    6. Alexandre M. Baptista, 2005. "Options And Efficiency In Multidate Security Markets," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 569-587.
    7. Alexandre Baptista, 2000. "Options and Efficiency in Multiperiod Security Markets," Econometric Society World Congress 2000 Contributed Papers 0299, Econometric Society.
    8. Mark D. Flood, 1991. "An introduction to complete markets," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 32-57.
    9. Christos Kountzakis & Ioannis Polyrakis, 2006. "The completion of security markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 29(1), pages 1-21, May.
    10. repec:ipg:wpaper:2014-330 is not listed on IDEAS
    11. Asli Ascioglu & Murat Aydogdu & Lynn Phillips Kugele, 2013. "The Impact of Option Listing on the Trading Activity of Turkcell’s American Depository Receipt (ADR)," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 27(1), pages 1-18.
    12. 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.
    13. repec:wyi:journl:002169 is not listed on IDEAS
    14. Galvani, Valentina, 2009. "Option spanning with exogenous information structure," Journal of Mathematical Economics, Elsevier, vol. 45(1-2), pages 73-79, January.
    15. repec:eee:matsoc:v:87:y:2017:i:c:p:85-91 is not listed on IDEAS
    16. Sahlstrom, Petri, 2001. "Impact of stock option listings on return and risk characteristics in Finland," International Review of Financial Analysis, Elsevier, vol. 10(1), pages 19-36.
    17. Patrick Roger, 1991. "Options et complétude des marchés," Revue Économique, Programme National Persée, vol. 42(5), pages 787-800.

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