Option spanning with exogenous information structure

Supplementing a finite state-space static securities market with options written on an injective claim obtains market completeness. This study concludes that options maintain this spanning property in the infinite state-space static securities market models of interest in the extant literature. In addition, underlyers for which options bring about market completeness are shown to be dense.

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Year of publication:	2009
Authors:	Galvani, Valentina
Published in:	Journal of Mathematical Economics. - Elsevier, ISSN 0304-4068. - Vol. 45.2009, 1-2, p. 73-79
Publisher:	Elsevier
Subject:	Option spanning Market completeness

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005216667