Maximal submarkets that replicate any option

DOI10.1007/S10436-009-0143-9zbMATH Open1219.91141OpenAlexW2062346429MaRDI QIDQ635967FDOQ635967

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

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

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)

Cites Work

• Spanning, valuation and options
• Options and Efficiency
• Spanning and completeness in markets with contingent claims
• Option spanning with exogenous information structure
• The completion of security markets
• Minimal lattice-subspaces
• Linear Optimization in C (Ω) and Portfolio Insurance
• 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.
• Liquidity and market incompleteness
• A computational study on general equilibrium pricing of derivative securities
• On the non-existence of redundant options

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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