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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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File URL: http://www.persee.fr/doc/reco_0035-2764_1991_num_42_5_409310
Download Restriction: Data and metadata provided by Persée are licensed under a Creative Commons "Attribution-Noncommercial-Share Alike 3.0" License http://creativecommons.org/licenses/by-nc-sa/3.0/

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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
Contact details of provider: Web page: http://www.persee.fr/collection/reco

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  1. Stephen A. Ross, 1976. "Options and Efficiency," The Quarterly Journal of Economics, Oxford University Press, vol. 90(1), pages 75-89.
  2. 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.
  3. Nachman, David C., 1987. "Efficient funds for meager asset spaces," Journal of Economic Theory, Elsevier, vol. 43(2), pages 335-347, December.
  4. John, Kose, 1984. "Market Resolution and Valuation in Incomplete Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(01), pages 29-44, March.
  5. 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.
  6. 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.
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