Option spanning with exogenous information structure

Valentina Galvani

Journal of Mathematical Economics, 2009, vol. 45, issue 1-2, 73-79

Abstract: 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.

Keywords: Option; spanning; Market; completeness (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:45:y:2009:i:1-2:p:73-79

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