IDEAS home Printed from https://ideas.repec.org/a/spr/decfin/v29y2006i1p1-21.html
   My bibliography  Save this article

The completion of security markets

Author

Listed:
  • Christos Kountzakis
  • Ioannis Polyrakis

Abstract

No abstract is available for this item.

Suggested Citation

  • Christos Kountzakis & Ioannis Polyrakis, 2006. "The completion of security markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 29(1), pages 1-21, May.
    • Handle: RePEc:spr:decfin:v:29:y:2006:i:1:p:1-21
    DOI: 10.1007/s10203-006-0059-z
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s10203-006-0059-z
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s10203-006-0059-z?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. David C. Nachman, 1988. "Spanning and Completeness with Options," The Review of Financial Studies, Society for Financial Studies, vol. 1(3), pages 311-328.
    2. L. Wade, 1988. "Review," Public Choice, Springer, vol. 58(1), pages 99-100, July.
    3. Arditti, Fred D. & John, Kose, 1980. "Spanning the State Space with Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(1), pages 1-9, March.
    4. Magill, Michael & Shafer, Wayne, 1991. "Incomplete markets," Handbook of Mathematical Economics, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 30, pages 1523-1614, Elsevier.
    5. 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.
    6. Aliprantis, Charalambos D. & Tourky, Rabee, 2002. "Markets that don't replicate any option," Economics Letters, Elsevier, vol. 76(3), pages 443-447, August.
    7. Stephen A. Ross, 1976. "Options and Efficiency," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 90(1), pages 75-89.
    8. LeRoy,Stephen F. & Werner,Jan, 2014. "Principles of Financial Economics," Cambridge Books, Cambridge University Press, number 9781107024120, February.
    9. 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.
    10. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ani Guerdjikova & John Quiggin, 2019. "Market Selection With Differential Financial Constraints," Econometrica, Econometric Society, vol. 87(5), pages 1693-1762, September.
    2. Ani Guerdjikova & John Quiggin, 2019. "Supplement to "Market Selection with Differential Financial Constraints"," Working Papers hal-02099920, HAL.
    3. Guerdjikova, A. & Quiggin, J., 2020. "Financial market equilibrium with bounded awareness," Working Papers 2020-10, Grenoble Applied Economics Laboratory (GAEL).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Alexandre M. Baptista, 2005. "Options And Efficiency In Multidate Security Markets," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 569-587, October.
    2. Ioannis Polyrakis & Foivos Xanthos, 2011. "Maximal submarkets that replicate any option," Annals of Finance, Springer, vol. 7(3), pages 407-423, August.
    3. Tian, Weidong, 2014. "Spanning with indexes," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 111-118.
    4. Galvani, Valentina & Troitsky, Vladimir G., 2010. "Options and efficiency in spaces of bounded claims," Journal of Mathematical Economics, Elsevier, vol. 46(4), pages 616-619, July.
    5. Galvani, Valentina, 2009. "Option spanning with exogenous information structure," Journal of Mathematical Economics, Elsevier, vol. 45(1-2), pages 73-79, January.
    6. Alexandre Baptista, 2000. "Options and Efficiency in Multiperiod Security Markets," Econometric Society World Congress 2000 Contributed Papers 0299, Econometric Society.
    7. Patrick Roger, 1991. "Options et complétude des marchés," Revue Économique, Programme National Persée, vol. 42(5), pages 787-800.
    8. 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, July.
    9. Cerreia-Vioglio, S. & Maccheroni, F. & Marinacci, M., 2015. "Put–Call Parity and market frictions," Journal of Economic Theory, Elsevier, vol. 157(C), pages 730-762.
    10. Niushan Gao & Foivos Xanthos, 2016. "Option spanning beyond $L_p$-models," Papers 1603.01288, arXiv.org, revised Sep 2016.
    11. Baptista, Alexandre M., 2003. "Spanning with American options," Journal of Economic Theory, Elsevier, vol. 110(2), pages 264-289, June.
    12. Liu, Jun & Pan, Jun, 2003. "Dynamic derivative strategies," Journal of Financial Economics, Elsevier, vol. 69(3), pages 401-430, September.
    13. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2020. "Integrated dynamic models for hedging international portfolio risks," European Journal of Operational Research, Elsevier, vol. 285(1), pages 48-65.
    14. Vasilios N. Katsikis & Spyridon D. Mourtas, 2020. "ORPIT: A Matlab Toolbox for Option Replication and Portfolio Insurance in Incomplete Markets," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 711-721, December.
    15. Tak Kuen Siu & Robert J. Elliott, 2019. "Hedging Options In A Doubly Markov-Modulated Financial Market Via Stochastic Flows," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-41, December.
    16. Aliprantis, Charalambos D. & Polyrakis, Yiannis A. & Tourky, Rabee, 2002. "The cheapest hedge," Journal of Mathematical Economics, Elsevier, vol. 37(4), pages 269-295, July.
    17. Galvani, Valentina, 2007. "A note on spanning with options," Mathematical Social Sciences, Elsevier, vol. 54(1), pages 106-114, July.
    18. Calvet, Laurent & Gonzalez-Eiras, Martín & Sodini, Paolo, 2004. "Financial Innovation, Market Participation, and Asset Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(3), pages 431-459, September.
    19. Niushan Gao & Denny H. Leung, 2017. "Smallest order closed sublattices and option spanning," Papers 1703.09748, arXiv.org.
    20. Aliprantis, Charalambos D. & Tourky, Rabee, 2002. "Markets that don't replicate any option," Economics Letters, Elsevier, vol. 76(3), pages 443-447, August.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:decfin:v:29:y:2006:i:1:p:1-21. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.