Maximal submarkets that replicate any option
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DOI: 10.1007/s10436-009-0143-9
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Cited by:- Niushan Gao & Foivos Xanthos, 2016. "Option spanning beyond $L_p$-models," Papers 1603.01288, arXiv.org, revised Sep 2016.
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More about this item
Keywords
Security markets; Replication of options; Completion by options; Positive bases; Sublattices; G10; D52; C60;
All these keywords.JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
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