Market completion using options

zbMath1153.91479arXiv0710.2792MaRDI QIDQ3534746

Jan Obłój, Mark H. A. Davis

Publication date: 4 November 2008

Full work available at URL: https://arxiv.org/abs/0710.2792

zbMATH Keywords

stochastic volatilitymarket completenessreal analytic functionsvariance swapmartingale modeltraded options

Mathematics Subject Classification ID

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Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty ⋮ A Note on Market Completeness with American Put Options ⋮ Model uncertainty, recalibration, and the emergence of delta-vega hedging ⋮ Option spanning beyond \(L_p\)-models ⋮ On securitization, market completion and equilibrium risk transfer ⋮ The Heston stochastic volatility model has a boundary trace at zero volatility ⋮ Arbitrage-Free Neural-SDE Market Models ⋮ Risk-neutral compatibility with option prices ⋮ Integral representation of martingales motivated by the problem of endogenous completeness in financial economics ⋮ Space-time analyticity of weak solutions to linear parabolic systems with variable coefficients ⋮ Solution of option pricing equations using orthogonal polynomial expansion. ⋮ Market completion with derivative securities ⋮ Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles ⋮ Density of the set of probability measures with the martingale representation property ⋮ Joint Modeling and Calibration of SPX and VIX by Optimal Transport

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