Option spanning beyond L_p-models
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Abstract: �egin{abstract} The aim of this paper is to study the spanning power of options in a static financial market that allows non-integrable assets. Our findings extend and unify the results in [8,9,18] for -models. We also apply the spanning power properties to the pricing problem. In particular, we show that prices on call and put options of a limited liability asset can be uniquely extended by arbitrage to all marketed contingent claims written on the asset.
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Cites work
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- scientific article; zbMATH DE number 1827104 (Why is no real title available?)
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Cited in
(6)- Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives
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