Maximal submarkets that replicate any option

DOI10.1007/S10436-009-0143-9MaRDI QIDQ635967zbMATH OpenOpenAlexFDO

Authors Ioannis A. Polyrakis, Foivos Xanthos

Publication date 25 August 2011

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-009-0143-9

zbMATH Keywords

completion by optionspositive basesreplication of optionssecurity marketssublattices

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

Recommendations

• Nonreplication of options
• Markets that don't replicate any option.
• A new characterization of markets that don't replicate any option through minimal-lattice subspaces: A computational approach
• The completion of security markets
• Computational methods for option replication

Cites work

• A computational study on general equilibrium pricing of derivative securities
• Finite-dimensional lattice-subspaces of 𝐶(Ω) and curves of ℝⁿ
• Linear Optimization in C (Ω) and Portfolio Insurance
• Liquidity and market incompleteness
• Markets that don't replicate any option.
• Minimal lattice-subspaces
• OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS
• On the non-existence of redundant options
• Option spanning with exogenous information structure
• Options and Efficiency
• Spanning and completeness in markets with contingent claims
• Spanning, valuation and options
• The completion of security markets

Cited in

(6)

• Pricing rules and Arrow-Debreu ambiguous valuation
• The completion of security markets
• Option spanning beyond \(L_p\)-models
• Computation of replicated exercise prices by using positive bases
• Nonreplication of options
• Atomic sublattices and basic derivatives in finance

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