Maximal submarkets that replicate any option
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Volume (Year): 7 (2011)
Issue (Month): 3 (August)
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References listed on IDEAS
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- Jacco Thijssen, 2008. "A computational study on general equilibrium pricing of derivative securities," Annals of Finance, Springer, vol. 4(4), pages 505-523, October.
- John, Kose, 1981. "Efficient Funds in a Financial Market with Options: A New Irrelevance Proposition," Journal of Finance, American Finance Association, vol. 36(3), pages 685-695, June.
- Felipe Zurita, 2008.
"Liquidity and market incompleteness,"
Annals of Finance,
Springer, vol. 4(3), pages 299-303, July.
- Felipe Zurita, 2007. "Liquidity and Market Incompleteness," Documentos de Trabajo 318, Instituto de Economia. Pontificia Universidad Católica de Chile..
- Aliprantis, Charalambos D. & Tourky, Rabee, 2002. "Markets that don't replicate any option," Economics Letters, Elsevier, vol. 76(3), pages 443-447, August.
- Charalambos D. Aliprantis & Rabee Tourky, 2002. "Markets That Don'T Replicate Any Option," Department of Economics - Working Papers Series 832, The University of Melbourne.
- 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.
- Donald J. Brown & Stephen A. Ross, 1988. "Spanning, Valuation and Options," Cowles Foundation Discussion Papers 873, Cowles Foundation for Research in Economics, Yale University.
- 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.
- Alexandre Baptista, 2007. "On the Non-Existence of Redundant Options," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 31(2), pages 205-212, May.
- Galvani, Valentina, 2009. "Option spanning with exogenous information structure," Journal of Mathematical Economics, Elsevier, vol. 45(1-2), pages 73-79, January.
- Stephen A. Ross, 1976. "Options and Efficiency," The Quarterly Journal of Economics, Oxford University Press, vol. 90(1), pages 75-89.
- Stephen A. Ross, "undated". "Options and Efficiency," Rodney L. White Center for Financial Research Working Papers 03-74, Wharton School Rodney L. White Center for Financial Research.
- Stephen A. Ross, "undated". "Options and Efficiency," Rodney L. White Center for Financial Research Working Papers 3-74, Wharton School Rodney L. White Center for Financial Research.
- Alexandre M. Baptista, 2005. "Options And Efficiency In Multidate Security Markets," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 569-587.
- LeRoy,Stephen F. & Werner,Jan, 2001. "Principles of Financial Economics," Cambridge Books, Cambridge University Press, number 9780521586054, November.
- 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. Full references (including those not matched with items on IDEAS)
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