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A note on spanning with options

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  • Galvani, Valentina

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  • Galvani, Valentina, 2007. "A note on spanning with options," Mathematical Social Sciences, Elsevier, vol. 54(1), pages 106-114, July.
    • Handle: RePEc:eee:matsoc:v:54:y:2007:i:1:p:106-114
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    References listed on IDEAS

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    1. Nachman, David C., 1987. "Efficient funds for meager asset spaces," Journal of Economic Theory, Elsevier, vol. 43(2), pages 335-347, December.
    2. Brown, Donald J & Ross, Stephen A, 1991. "Spanning, Valuation and Options," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 1(1), pages 3-12, January.
    3. Bowman, David & Faust, Jon, 1997. "Options, Sunspots, and the Creation of Uncertainty," Journal of Political Economy, University of Chicago Press, vol. 105(5), pages 957-975, October.
    4. Nijman, T.E. & de Roon, F.A., 2001. "Testing for mean-variance spanning : A survey," Other publications TiSEM 0159f80a-c61b-4519-b004-a, Tilburg University, School of Economics and Management.
    5. Brown, Donald J. & Ross, Stephen, 1983. "Spanning and arbitrage in securities markets with options: A state preference aproach," Mathematical Social Sciences, Elsevier, vol. 4(2), pages 186-186, April.
    6. Stephen A. Ross, 1976. "Options and Efficiency," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 90(1), pages 75-89.
    7. David Cass & Alessandro Citanna, 1998. "Pareto improving financial innovation in incomplete markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 11(3), pages 467-494.
    8. DeRoon, Frans A. & Nijman, Theo E., 2001. "Testing for mean-variance spanning: a survey," Journal of Empirical Finance, Elsevier, vol. 8(2), pages 111-155, May.
    9. Willig, Robert D, 1978. "Recent Theoretical Developments in Financial Theory: Discussion," Journal of Finance, American Finance Association, vol. 33(3), pages 792-794, June.
    10. Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-651, October.
    11. Battig, Robert J & Jarrow, Robert A, 1999. "The Second Fundamental Theorem of Asset Pricing: A New Approach," The Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1219-1235.
    12. Duan, Jin-Chuan & Moreau, Arthur F. & Sealey, C. W., 1992. "Spanning with Index Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(2), pages 303-309, June.
    13. Atsushi Kajii, 1997. "On the Role of Options in Sunspot Equilibria," Econometrica, Econometric Society, vol. 65(4), pages 977-986, July.
    14. Charalambos D. Aliprantis & Kim C. Border, 2006. "Infinite Dimensional Analysis," Springer Books, Springer, edition 0, number 978-3-540-29587-7, December.
    15. Robert A. Jarrow & Xing Jin & Dilip B. Madan, 1999. "The Second Fundamental Theorem of Asset Pricing," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 255-273, July.
    16. 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.
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    Cited by:

    1. 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.

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