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Options et complétude des marchés

  • Patrick Roger

[fre] Options et complétude des marchés Nous analysons les conditions dans lesquelles un marché peut être complété par des contrats d'options lorsqu'il existe une infinité d'états de la nature ; nous montrons, en particulier, que la tribu engendrée par les actifs échangés doit être égale à celle sur laquelle les actifs supports des contrats sont définis au départ ; une condition du même type est obtenue pour montrer l'existence d'un portefeuille efficace. [eng] Options contracts and completeness of financial markets We analyse conditions for which a financial market can be completed by options contracts when the number of states of nature is infinite. We first show that the conditions in the finite case can be stated in terms of σ-algebras generated by marketed assets and we generalize this approach to an economy with an infinite number of states.

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Article provided by Programme National Persée in its journal Revue économique.

Volume (Year): 42 (1991)
Issue (Month): 5 ()
Pages: 787-800

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Handle: RePEc:prs:reveco:reco_0035-2764_1991_num_42_5_409310
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