Back to Search Start Over

Option spanning beyond $L_p$-models

Authors :
Gao, Niushan
Xanthos, Foivos
Publication Year :
2016

Abstract

\begin{abstract} 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 [8,9,18] 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.

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.1603.01288
Document Type :
Working Paper