Maximal submarkets that replicate any option
No abstract is available for this item.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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 685-95, June.
- Aliprantis, Charalambos D. & Tourky, Rabee, 2002.
"Markets that don't replicate any option,"
Elsevier, vol. 76(3), pages 443-447, August.
- Alexandre Baptista, 2007. "On the Non-Existence of Redundant Options," Economic Theory, Springer, vol. 31(2), pages 205-212, May.
- Ross, Stephen A, 1976. "Options and Efficiency," The Quarterly Journal of Economics, MIT Press, vol. 90(1), pages 75-89, February.
- Jacco Thijssen, 2008. "A computational study on general equilibrium pricing of derivative securities," Annals of Finance, Springer, vol. 4(4), pages 505-523, October.
- Felipe Zurita, 2007.
"Liquidity and Market Incompleteness,"
Documentos de Trabajo
318, Instituto de Economia. Pontificia Universidad Católica de Chile..
- Galvani, Valentina, 2009. "Option spanning with exogenous information structure," Journal of Mathematical Economics, Elsevier, vol. 45(1-2), pages 73-79, January.
- repec:cup:cbooks:9780521586054 is not listed on IDEAS
- 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.
- Brown, Donald J & Ross, Stephen A, 1991.
"Spanning, Valuation and Options,"
Springer, vol. 1(1), pages 3-12, January.
- Alexandre M. Baptista, 2005. "Options And Efficiency In Multidate Security Markets," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 569-587.
When requesting a correction, please mention this item's handle: RePEc:kap:annfin:v:7:y:2011:i:3:p:407-423. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.