Options and efficiency in spaces of bounded claims
In a seminal contribution, Ross (1976) showed that a static finite state-space market can be completed by supplementing the primitive securities with ordinary call and put options. Galvani (2009) extends this result to norm separable Lp-spaces, with 1
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- John, Kose, 1984. "Market Resolution and Valuation in Incomplete Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(01), pages 29-44, March.
- Alexandre M. Baptista, 2005. "Options And Efficiency In Multidate Security Markets," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 569-587.
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"Markets That Don'T Replicate Any Option,"
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- Baptista, Alexandre M., 2003. "Spanning with American options," Journal of Economic Theory, Elsevier, vol. 110(2), pages 264-289, June.
- Battig, Robert J & Jarrow, Robert A, 1999. "The Second Fundamental Theorem of Asset Pricing: A New Approach," Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1219-35.
- 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.
- Brown, Donald J & Ross, Stephen A, 1991.
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Springer;Society for the Advancement of Economic Theory (SAET), vol. 1(1), pages 3-12, January.
- Nachman, David C., 1987. "Efficient funds for meager asset spaces," Journal of Economic Theory, Elsevier, vol. 43(2), pages 335-347, December.
- Green, Richard C. & Jarrow, Robert A., 1987. "Spanning and completeness in markets with contingent claims," Journal of Economic Theory, Elsevier, vol. 41(1), pages 202-210, February.
- Galvani, Valentina, 2007. "Underlying assets for which options complete the market," Finance Research Letters, Elsevier, vol. 4(1), pages 59-66, March.
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