Nonreplication of options

DOI10.1111/J.1467-9965.2010.00467.XzbMATH Open1278.91063OpenAlexW1510441606MaRDI QIDQ4906527FDOQ4906527

Authors: Christos E. Kountzakis, Ioannis A. Polyrakis, Foivos Xanthos 

Publication date: 28 February 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00467.x

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• Maximal submarkets that replicate any option
• A new characterization of markets that don't replicate any option through minimal-lattice subspaces: A computational approach
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zbMATH Keywords

completion by optionspositive basesreplicated optionsstrongly resolving markets

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• A General Equilibrium Analysis of Option and Stock Market Interactions
• Spanning and completeness in markets with contingent claims
• Option spanning with exogenous information structure
• The completion of security markets
• Finite-dimensional lattice-subspaces of 𝐶(Ω) and curves of ℝⁿ
• OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS
• Markets that don't replicate any option.
• On the non-existence of redundant options
• DYNAMIC SPANNING: ARE OPTIONS AN APPROPRIATE INSTRUMENT?

Cited In (4)

• Option spanning beyond \(L_p\)-models
• Computation of replicated exercise prices by using positive bases
• Maximal submarkets that replicate any option
• On the non-existence of redundant options

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