Option spanning beyond L_p-models

DOI10.1007/S11579-017-0185-0zbMATH Open1415.91281arXiv1603.01288OpenAlexW2962835645MaRDI QIDQ1679558FDOQ1679558

Authors: Niushan Gao, Foivos Xanthos 

Publication date: 9 November 2017

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

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 $L_p$-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.

Full work available at URL: https://arxiv.org/abs/1603.01288

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zbMATH Keywords

arbitragemarket completenessorder continuous dualKreps-Yan theoremspanning of options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Banach lattices (46B42)

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Cited In (6)

• Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives
• Spanning, valuation and options
• A note on spanning with options
• Fundamental theorem of asset pricing with acceptable risk in markets with frictions
• The countable sup property for lattices of continuous functions
• Smallest order closed sublattices and option spanning

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