On the non-existence of redundant options

DOI10.1007/S00199-006-0095-5MaRDI QIDQ873903zbMATH OpenOpenAlexFDO

Authors Alexandre M. Baptista

Publication date 20 March 2007

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00199-006-0095-5

zbMATH Keywords

optionsincomplete marketsredundant securities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) General equilibrium theory (91B50)

Recommendations

• Markets that don't replicate any option.
• Nonreplication of options
• OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS
• Option spanning with exogenous information structure
• The completion of security markets

Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• A General Equilibrium Analysis of Option and Stock Market Interactions
• Efficient funds for meager asset spaces
• Markets that don't replicate any option.
• OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS
• Options and Efficiency
• Spanning and completeness in markets with contingent claims
• Spanning with American options.
• Spanning, valuation and options
• The Arrow-Debreu Model Extended to Financial Markets

Cited in

(6)

• OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS
• A computational study on general equilibrium pricing of derivative securities
• Options and efficiency in spaces of bounded claims
• Pricing rules and Arrow-Debreu ambiguous valuation
• Nonreplication of options
• Maximal submarkets that replicate any option

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