Markets that don't replicate any option.

DOI10.1016/S0165-1765(02)00084-8zbMath1065.91528OpenAlexW2058896500MaRDI QIDQ1608851

Rabee Tourky, Charalambos D. Aliprantis

Publication date: 13 August 2002

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(02)00084-8

zbMATH Keywords

optionsincomplete marketsoption replicationresolving securities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10)

Related Items (10)

Computational methods for option replication ⋮ The completion of security markets ⋮ On the non-existence of redundant options ⋮ Maximal submarkets that replicate any option ⋮ Non-marketed options, non-existence of equilibria, and nonlinear prices. ⋮ Pricing rules and Arrow-Debreu ambiguous valuation ⋮ NONREPLICATION OF OPTIONS ⋮ Linear and nonlinear price decentralization ⋮ Options and efficiency in spaces of bounded claims ⋮ The cheapest hedge.

Cites Work

• The Pricing of Options and Corporate Liabilities
• Spanning and completeness in markets with contingent claims
• Real effects of money in general equilibrium
• Spanning, valuation and options
• On the pricing of contingent claims under constraints
• Options and Efficiency

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