Spanning, Valuation and Options.

B-Tier
Journal: Economic Theory
Year: 1991
Volume: 1
Issue: 1
Pages: 3-12

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We model the space of marketed assets as a Riesz space of commodities. In this setting two alternative characterizations are given of the space of continuous options on a bounded asset, [s], with limited liability. The first characterization represents every continuous option on [s] as the uniform limit of portfolios of calls on [s]. The second characterization represents an option as a continuous sum (or integral) of Arrow-Debreu securities, with respect to [s]. The pricing implications of these representations are explored. In particular, the Breeden-Littzenberger pricing formula is shown to be a direct consequence of the integral representation theorem.

Technical Details

RePEc Handle
repec:spr:joecth:v:1:y:1991:i:1:p:3-12
Journal Field
Theory
Author Count
2
Added to Database
2026-01-24