Option spanning with exogenous information structure

B-Tier
Journal: Journal of Mathematical Economics
Year: 2009
Volume: 45
Issue: 1-2
Pages: 73-79

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

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

Abstract

Supplementing a finite state-space static securities market with options written on an injective claim obtains market completeness. This study concludes that options maintain this spanning property in the infinite state-space static securities market models of interest in the extant literature. In addition, underlyers for which options bring about market completeness are shown to be dense.

Technical Details

RePEc Handle
repec:eee:mateco:v:45:y:2009:i:1-2:p:73-79
Journal Field
Theory
Author Count
1
Added to Database
2026-01-25