Option spanning beyond Lp-models

The aim of this paper is to study the spanning power of options in a static financial market that allows non-integrable assets. Our findings extend and unify the results in Galvani (J Math Econ 45(1):73–79, 2009 ), Galvani and Troitsky (J Math Econ 46(4):616–619, 2010 ) and Nachman (Rev Financ Stud...

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Bibliographic Details
Published in:Mathematics and financial economics 2017-06, Vol.11 (3), p.383-391
Main Authors: Gao, N., Xanthos, F.
Format: Article
Language:English
Subjects:
Applications of Mathematics
Economic Theory/Quantitative Economics/Mathematical Methods
Economics
Finance
Insurance
Macroeconomics/Monetary Economics//Financial Economics
Management
Mathematics
Mathematics and Statistics
Quantitative Finance
Statistics for Business
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Summary:The aim of this paper is to study the spanning power of options in a static financial market that allows non-integrable assets. Our findings extend and unify the results in Galvani (J Math Econ 45(1):73–79, 2009 ), Galvani and Troitsky (J Math Econ 46(4):616–619, 2010 ) and Nachman (Rev Financ Stud 1(3):311–328, 1988 ) for L p -models. We also apply the spanning power properties to the pricing problem. In particular, we show that prices on call and put options of a limited liability asset can be uniquely extended by arbitrage to all marketed contingent claims written on the asset.
ISSN:1862-9679
1862-9660
DOI:10.1007/s11579-017-0185-0