A Note on Market Completeness with American Put Options

DOI10.1007/978-3-319-02069-3_4zbMath1418.91505OpenAlexW1772430868MaRDI QIDQ4561927

Luciano Campi

Publication date: 13 December 2018

Published in: Inspired by Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02069-3_4

zbMATH Keywords

Tanaka formulamarket completenessmarginalsEuropean callAmerican put

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Optimal investment and price dependence in a semi-static market ⋮ No-Arbitrage and Hedging with Liquid American Options

Cites Work

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• Call completeness implies completeness in the \(n\)-period model of a financial market
• Spanning and completeness in markets with contingent claims
• Arbitrage and completeness in financial markets with given \(N\)-dimensional distributions
• Completion of a Lévy market by power-jump assets
• Arbitrage-free market models for option prices: the multi-strike case
• Local volatility dynamic models
• Risk-neutral compatibility with option prices
• Optimal investment with derivative securities
• Dynamic complex hedging in additive markets
• TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
• Market completion using options
• Options and Efficiency
• Optimal positioning in derivative securities
• OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
• Optimal investment in derivative securities

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