Options and efficiency in spaces of bounded claims
In a seminal contribution, Ross (1976) showed that a static finite state-space market can be completed by supplementing the primitive securities with ordinary call and put options. Galvani (2009) extends this result to norm separable L p -spaces, with 1 ≤ p < ∞ . This study concludes that options...
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| Veröffentlicht in: | Journal of mathematical economics 2010-07, Vol.46 (4), p.616-619 |
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| container_title | Journal of mathematical economics |
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| creator | Galvani, Valentina Troitsky, Vladimir G. |
| description | In a seminal contribution,
Ross (1976) showed that a static finite state-space market can be completed by supplementing the primitive securities with ordinary call and put options.
Galvani (2009) extends this result to norm separable
L
p
-spaces, with
1
≤
p
<
∞
. This study concludes that options maintain the same spanning power in the space of bounded payoffs topologized by the duality with the space of the state price densities. In particular, under mild assumptions on the probability space, options written on a claim that is a.s. equal to an injective function complete the market. |
| doi_str_mv | 10.1016/j.jmateco.2010.05.004 |
| format | Article |
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Ross (1976) showed that a static finite state-space market can be completed by supplementing the primitive securities with ordinary call and put options.
Galvani (2009) extends this result to norm separable
L
p
-spaces, with
1
≤
p
<
∞
. This study concludes that options maintain the same spanning power in the space of bounded payoffs topologized by the duality with the space of the state price densities. In particular, under mild assumptions on the probability space, options written on a claim that is a.s. equal to an injective function complete the market.</description><identifier>ISSN: 0304-4068</identifier><identifier>EISSN: 1873-1538</identifier><identifier>DOI: 10.1016/j.jmateco.2010.05.004</identifier><identifier>CODEN: JMECDA</identifier><language>eng</language><publisher>Amsterdam: Elsevier B.V</publisher><subject>Economic theory ; Efficiency ; Market completeness ; Market theory ; Mathematical economics ; Options ; Payoffs ; Put & call options ; Spanning ; Spanning Options Market completeness Efficiency ; Spatial models ; Studies</subject><ispartof>Journal of mathematical economics, 2010-07, Vol.46 (4), p.616-619</ispartof><rights>2010 Elsevier B.V.</rights><rights>Copyright Elsevier Sequoia S.A. Jul 20, 2010</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c545t-af1248b87bb375af5b7d090aa02213763682f3a23630e0798534ba51c58cc3d23</citedby><cites>FETCH-LOGICAL-c545t-af1248b87bb375af5b7d090aa02213763682f3a23630e0798534ba51c58cc3d23</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://dx.doi.org/10.1016/j.jmateco.2010.05.004$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,778,782,3539,3996,27911,27912,45982</link.rule.ids><backlink>$$Uhttp://econpapers.repec.org/article/eeemateco/v_3a46_3ay_3a2010_3ai_3a4_3ap_3a616-619.htm$$DView record in RePEc$$Hfree_for_read</backlink></links><search><creatorcontrib>Galvani, Valentina</creatorcontrib><creatorcontrib>Troitsky, Vladimir G.</creatorcontrib><title>Options and efficiency in spaces of bounded claims</title><title>Journal of mathematical economics</title><description>In a seminal contribution,
Ross (1976) showed that a static finite state-space market can be completed by supplementing the primitive securities with ordinary call and put options.
Galvani (2009) extends this result to norm separable
L
p
-spaces, with
1
≤
p
<
∞
. This study concludes that options maintain the same spanning power in the space of bounded payoffs topologized by the duality with the space of the state price densities. In particular, under mild assumptions on the probability space, options written on a claim that is a.s. equal to an injective function complete the market.</description><subject>Economic theory</subject><subject>Efficiency</subject><subject>Market completeness</subject><subject>Market theory</subject><subject>Mathematical economics</subject><subject>Options</subject><subject>Payoffs</subject><subject>Put & call options</subject><subject>Spanning</subject><subject>Spanning Options Market completeness Efficiency</subject><subject>Spatial models</subject><subject>Studies</subject><issn>0304-4068</issn><issn>1873-1538</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2010</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><recordid>eNqFkEtLxDAUhYMoOD5-glDcuOp40zxnJSI-EdzoOqTpLaZMm5p0hPn3Zh64cOPi3AuXcw6Xj5ALCnMKVF538663E7owryDfQMwB-AGZUa1YSQXTh2QGDHjJQepjcpJSBwBKgZ6R6m2cfBhSYYemwLb1zuPg1oUfijRah6kIbVGH1dBgU7il9X06I0etXSY83-9T8vFw_373VL6-PT7f3b6WTnAxlbalFde1VnXNlLCtqFUDC7AWqooyJZnUVctsxSQDBLXQgvHaCuqEdo41FTslV7veMYavFabJ9D45XC7tgGGVjBKCCrnQPDsv_zi7sIpDfs4ozrnkWkI2iZ3JxZBSxNaM0fc2rg0Fs-FoOrPnaDYcDQiTOebcyy4XcUT3G0LEvfnbMMtlHuusbZJZv7lljVkyV0u6MJ9Tn8tudmWYwX17jCZtgWPjI7rJNMH_884Ps7iU1Q</recordid><startdate>201007</startdate><enddate>201007</enddate><creator>Galvani, Valentina</creator><creator>Troitsky, Vladimir G.</creator><general>Elsevier B.V</general><general>Elsevier</general><general>Elsevier Sequoia S.A</general><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope><scope>JQ2</scope></search><sort><creationdate>201007</creationdate><title>Options and efficiency in spaces of bounded claims</title><author>Galvani, Valentina ; Troitsky, Vladimir G.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c545t-af1248b87bb375af5b7d090aa02213763682f3a23630e0798534ba51c58cc3d23</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2010</creationdate><topic>Economic theory</topic><topic>Efficiency</topic><topic>Market completeness</topic><topic>Market theory</topic><topic>Mathematical economics</topic><topic>Options</topic><topic>Payoffs</topic><topic>Put & call options</topic><topic>Spanning</topic><topic>Spanning Options Market completeness Efficiency</topic><topic>Spatial models</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Galvani, Valentina</creatorcontrib><creatorcontrib>Troitsky, Vladimir G.</creatorcontrib><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><collection>ProQuest Computer Science Collection</collection><jtitle>Journal of mathematical economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Galvani, Valentina</au><au>Troitsky, Vladimir G.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Options and efficiency in spaces of bounded claims</atitle><jtitle>Journal of mathematical economics</jtitle><date>2010-07</date><risdate>2010</risdate><volume>46</volume><issue>4</issue><spage>616</spage><epage>619</epage><pages>616-619</pages><issn>0304-4068</issn><eissn>1873-1538</eissn><coden>JMECDA</coden><abstract>In a seminal contribution,
Ross (1976) showed that a static finite state-space market can be completed by supplementing the primitive securities with ordinary call and put options.
Galvani (2009) extends this result to norm separable
L
p
-spaces, with
1
≤
p
<
∞
. This study concludes that options maintain the same spanning power in the space of bounded payoffs topologized by the duality with the space of the state price densities. In particular, under mild assumptions on the probability space, options written on a claim that is a.s. equal to an injective function complete the market.</abstract><cop>Amsterdam</cop><pub>Elsevier B.V</pub><doi>10.1016/j.jmateco.2010.05.004</doi><tpages>4</tpages><oa>free_for_read</oa></addata></record> |
| fulltext | fulltext |
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| language | eng |
| recordid | cdi_proquest_miscellaneous_755156984 |
| source | RePEc; ScienceDirect Journals (5 years ago - present) |
| subjects | Economic theory Efficiency Market completeness Market theory Mathematical economics Options Payoffs Put & call options Spanning Spanning Options Market completeness Efficiency Spatial models Studies |
| title | Options and efficiency in spaces of bounded claims |
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