On the non-existence of redundant options

DOI10.1007/S00199-006-0095-5zbMath1190.91089OpenAlexW2163961152MaRDI QIDQ873903

Alexandre M. Baptista

Publication date: 20 March 2007

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00199-006-0095-5

zbMATH Keywords

optionsincomplete marketsredundant securities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) General equilibrium theory (91B50) Portfolio theory (91G10)

Related Items (5)

Maximal submarkets that replicate any option ⋮ Pricing rules and Arrow-Debreu ambiguous valuation ⋮ A computational study on general equilibrium pricing of derivative securities ⋮ NONREPLICATION OF OPTIONS ⋮ Options and efficiency in spaces of bounded claims

Cites Work

• Unnamed Item
• Spanning and completeness in markets with contingent claims
• Efficient funds for meager asset spaces
• Spanning, valuation and options
• Spanning with American options.
• Markets that don't replicate any option.
• The Arrow-Debreu Model Extended to Financial Markets
• A General Equilibrium Analysis of Option and Stock Market Interactions
• Options and Efficiency
• OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS

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