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Options et complétude des marchés

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  • Patrick Roger

Abstract

[fre] Options et complétude des marchés. . Nous analysons les conditions dans lesquelles un marché peut être complété par des contrats d'options lorsqu'il existe une infinité d'états de la nature ; nous montrons, en particulier, que la tribu engendrée par les actifs échangés doit être égale à celle sur laquelle les actifs supports des contrats sont définis au départ ; une condition du même type est obtenue pour montrer l'existence d'un portefeuille efficace. [eng] Options contracts and completeness of financial markets . . We analyse conditions for which a financial market can be completed by options contracts when the number of states of nature is infinite. We first show that the conditions in the finite case can be stated in terms of σ-algebras generated by marketed assets and we generalize this approach to an economy with an infinite number of states.

Suggested Citation

  • Patrick Roger, 1991. "Options et complétude des marchés," Revue Économique, Programme National Persée, vol. 42(5), pages 787-800.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1991_num_42_5_409310
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    References listed on IDEAS

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    1. Nachman, David C., 1987. "Efficient funds for meager asset spaces," Journal of Economic Theory, Elsevier, vol. 43(2), pages 335-347, December.
    2. Arditti, Fred D. & John, Kose, 1980. "Spanning the State Space with Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(1), pages 1-9, March.
    3. Stephen A. Ross, 1976. "Options and Efficiency," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 90(1), pages 75-89.
    4. Green, Richard C. & Jarrow, Robert A., 1987. "Spanning and completeness in markets with contingent claims," Journal of Economic Theory, Elsevier, vol. 41(1), pages 202-210, February.
    5. John, Kose, 1981. "Efficient Funds in a Financial Market with Options: A New Irrelevance Proposition," Journal of Finance, American Finance Association, vol. 36(3), pages 685-695, June.
    6. John, Kose, 1984. "Market Resolution and Valuation in Incomplete Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(1), pages 29-44, March.
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