Spanning, valuation and options
From MaRDI portal
Publication:1338119
DOI10.1007/BF01210570zbMath0807.90045MaRDI QIDQ1338119
Donald J. Brown, Stephen A. Ross
Publication date: 27 November 1994
Published in: Economic Theory (Search for Journal in Brave)
91B26: Auctions, bargaining, bidding and selling, and other market models
Related Items
The completion of security markets, On the non-existence of redundant options, Option spanning with exogenous information structure, Spanning with American options., Minimum-cost portfolio insurance, Markets that don't replicate any option., The cheapest hedge., A partial introduction to financial asset pricing theory., A note on spanning with options
Cites Work
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- A characterization theorem for unique risk neutral probability measures
- Spanning and completeness in markets with contingent claims
- Arbitrage and equilibrium in economies with infinitely many commodities
- Ordered linear spaces
- Options and Efficiency
- Option pricing: A simplified approach