Option spanning with exogenous information structure
Supplementing a finite state-space static securities market with options written on an injective claim obtains market completeness. This study concludes that options maintain this spanning property in the infinite state-space static securities market models of interest in the extant literature. In addition, underlyers for which options bring about market completeness are shown to be dense.
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- Nachman, David C., 1987. "Efficient funds for meager asset spaces," Journal of Economic Theory, Elsevier, vol. 43(2), pages 335-347, December.
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"Spanning, Valuation and Options,"
Cowles Foundation Discussion Papers
873, Cowles Foundation for Research in Economics, Yale University.
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