Options and Efficiency in Spaces of Bounded Claims
Supplementing a finite state-space static securities market with options obtains market completeness. This study concludes that options maintain the same spanning power in the space of bounded payoff topologized by its duality with the space of the state price densities.
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- Battig, Robert J & Jarrow, Robert A, 1999. "The Second Fundamental Theorem of Asset Pricing: A New Approach," Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1219-1235.
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- Alexandre M. Baptista, 2005. "Options And Efficiency In Multidate Security Markets," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 569-587.
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- 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. Full references (including those not matched with items on IDEAS)
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