Maximal submarkets that replicate any option

DOI10.1007/S10436-009-0143-9zbMath1219.91141OpenAlexW2062346429MaRDI QIDQ635967

Foivos Xanthos, Ioannis A. Polyrakis

Publication date: 25 August 2011

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-009-0143-9

zbMATH Keywords

positive basessublatticescompletion by optionsreplication of optionssecurity markets

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

Related Items (2)

Option spanning beyond \(L_p\)-models ⋮ Pricing rules and Arrow-Debreu ambiguous valuation

Cites Work

• Liquidity and market incompleteness
• A computational study on general equilibrium pricing of derivative securities
• The completion of security markets
• On the non-existence of redundant options
• Option spanning with exogenous information structure
• Spanning and completeness in markets with contingent claims
• Spanning, valuation and options
• Markets that don't replicate any option.
• Options and Efficiency
• Minimal lattice-subspaces
• Linear Optimization in C (Ω) and Portfolio Insurance
• Finite-dimensional lattice-subspaces of 𝐶(Ω) and curves of ℝⁿ
• OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS

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