On the non-existence of redundant options

DOI10.1007/S00199-006-0095-5zbMATH Open1190.91089OpenAlexW2163961152MaRDI QIDQ873903FDOQ873903

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

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

zbMATH Keywords

optionsincomplete marketsredundant securities

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Spanning, valuation and options
• Options and Efficiency
• A General Equilibrium Analysis of Option and Stock Market Interactions
• Spanning and completeness in markets with contingent claims
• Efficient funds for meager asset spaces
• Spanning with American options.
• OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS
• Markets that don't replicate any option.
• The Arrow-Debreu Model Extended to Financial Markets

Cited In (6)

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

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