IDEAS home Printed from https://ideas.repec.org/a/spr/joecth/v1y1991i1p3-12.html

Spanning, Valuation and Options

Author

Listed:
  • Brown, Donald J
  • Ross, Stephen A

Abstract

We model the space of marketed assets as a Riesz space of commodities. In this setting two alternative characterizations are given of the space of continuous options on a bounded asset, [s], with limited liability. The first characterization represents every continuous option on [s] as the uniform limit of portfolios of calls on [s]. The second characterization represents an option as a continuous sum (or integral) of Arrow-Debreu securities, with respect to [s]. The pricing implications of these representations are explored. In particular, the Breeden-Littzenberger pricing formula is shown to be a direct consequence of the integral representation theorem.

Suggested Citation

  • 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.
    • Handle: RePEc:spr:joecth:v:1:y:1991:i:1:p:3-12
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    Other versions of this item:

    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    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:joecth:v:1:y:1991:i:1:p:3-12. 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.

    We have no bibliographic references for this item. You can help adding them by using 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.