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Spanning and Completeness with Options

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  • David C. Nachman

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  • David C. Nachman, 1988. "Spanning and Completeness with Options," Review of Financial Studies, Society for Financial Studies, vol. 1(3), pages 311-328.
  • Handle: RePEc:oup:rfinst:v:1:y:1988:i:3:p:311-328
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    Citations

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    Cited by:

    1. Peter Carr & Liuren Wu, 2004. "Static Hedging of Standard Options," Finance 0409016, EconWPA.
    2. Tian, Weidong, 2014. "Spanning with indexes," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 111-118.
    3. Niushan Gao & Foivos Xanthos, 2016. "Option spanning beyond $L_p$-models," Papers 1603.01288, arXiv.org, revised Sep 2016.
    4. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 1501. "Short-Term Market Risks Implied by Weekly Options," CREATES Research Papers 2018-08, Department of Economics and Business Economics, Aarhus University.
    5. Franke, Günter & Weber, Martin, 2003. "Heterogeneity of Investors and Asset Pricing in a Risk-Value World," CEPR Discussion Papers 3832, C.E.P.R. Discussion Papers.
    6. Dilip B. Madan & Frank Milne, 1994. "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Mathematical Finance, Wiley Blackwell, vol. 4(3), pages 223-245.
    7. Philipp Mayer & Natalie Packham & Wolfgang Schmidt, 2015. "Static hedging under maturity mismatch," Finance and Stochastics, Springer, vol. 19(3), pages 509-539, July.
    8. Alexandre M. Baptista, 2005. "Options And Efficiency In Multidate Security Markets," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 569-587.
    9. Breeden, Douglas T. & Gilkeson, James H., 1997. "A path-dependent approach to security valuation with application to interest rate contingent claims," Journal of Banking & Finance, Elsevier, vol. 21(4), pages 541-562, April.
    10. Bakshi, Gurdip & Madan, Dilip, 2000. "Spanning and derivative-security valuation," Journal of Financial Economics, Elsevier, vol. 55(2), pages 205-238, February.
    11. Niushan Gao & Denny H. Leung, 2017. "Smallest order closed sublattices and option spanning," Papers 1703.09748, arXiv.org.
    12. Michael Schmutz & Thomas Zürcher, 2014. "Static Hedging with Traffic Light Options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(7), pages 690-702, July.
    13. Franke, Gunter & Stapleton, Richard C. & Subrahmanyam, Marti G., 1998. "Who Buys and Who Sells Options: The Role of Options in an Economy with Background Risk," Journal of Economic Theory, Elsevier, vol. 82(1), pages 89-109, September.
    14. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015. "The Pricing of Short-Term market Risk: Evidence from Weekly Options," NBER Working Papers 21491, National Bureau of Economic Research, Inc.

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