OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS

DOI10.1111/J.1467-9965.2005.00251.XzbMath1107.91044OpenAlexW3123427081MaRDI QIDQ5700132

Alexandre M. Baptista

Publication date: 27 October 2005

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2005.00251.x

zbMATH Keywords

equilibriumspanningdynamically complete markets

Mathematics Subject Classification ID

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

Related Items (9)

The financial market: not as big as you think ⋮ On the non-existence of redundant options ⋮ Option spanning beyond \(L_p\)-models ⋮ Spanning with American options. ⋮ Maximal submarkets that replicate any option ⋮ NONREPLICATION OF OPTIONS ⋮ The completion of real-asset markets by options ⋮ Options and efficiency in spaces of bounded claims ⋮ Option spanning with exogenous information structure

Cites Work

• Characterisation of generically complete real asset structures
• Spanning and completeness in markets with contingent claims
• Efficient funds for meager asset spaces
• Efficiency and options on the market index
• Spanning with American options.
• Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
• The Arrow-Debreu Model Extended to Financial Markets
• DYNAMIC SPANNING: ARE OPTIONS AN APPROPRIATE INSTRUMENT?

This page was built for publication: OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS