Spanning, valuation and options
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Publication:1338119
DOI10.1007/BF01210570zbMath0807.90045OpenAlexW2047667251MaRDI QIDQ1338119
Stephen A. Ross, Donald J. Brown
Publication date: 27 November 1994
Published in: Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01210570
Related Items (22)
Riesz estimators ⋮ A partial introduction to financial asset pricing theory. ⋮ Choquet integration on Riesz spaces and dual comonotonicity ⋮ The financial market: not as big as you think ⋮ Option pricing: a yet simpler approach ⋮ A note on spanning with options ⋮ The completion of security markets ⋮ On the non-existence of redundant options ⋮ Option spanning beyond \(L_p\)-models ⋮ Put-call parity and market frictions ⋮ Spanning with indexes ⋮ Spanning with American options. ⋮ Smallest order closed sublattices and option spanning ⋮ Atomic sublattices and basic derivatives in finance ⋮ Maximal submarkets that replicate any option ⋮ Note on multidimensional Breeden-Litzenberger representation for state price densities ⋮ Asset pricing in an imperfect world ⋮ Option spanning with exogenous information structure ⋮ Minimum-cost portfolio insurance ⋮ The cheapest hedge. ⋮ Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives ⋮ Markets that don't replicate any option.
Cites Work
- A characterization theorem for unique risk neutral probability measures
- Spanning and completeness in markets with contingent claims
- Arbitrage and equilibrium in economies with infinitely many commodities
- Ordered linear spaces
- Options and Efficiency
- Option pricing: A simplified approach
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