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Option spanning beyond $L_p$-models
- 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.
- Subjects :
- Quantitative Finance - Mathematical Finance
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.1603.01288
- Document Type :
- Working Paper