Maximal submarkets that replicate any option

DSpace/Manakin Repository

Show simple item record

dc.contributor.author Polyrakis, IA en
dc.contributor.author Xanthos, F en
dc.date.accessioned 2014-03-01T02:02:25Z
dc.date.available 2014-03-01T02:02:25Z
dc.date.issued 2011 en
dc.identifier.issn 16142446 en
dc.identifier.uri http://hdl.handle.net/123456789/29318
dc.subject Completion by options en
dc.subject Positive bases en
dc.subject Replication of options en
dc.subject Security markets en
dc.subject Sublattices en
dc.title Maximal submarkets that replicate any option en
heal.type journalArticle en
heal.identifier.primary 10.1007/s10436-009-0143-9 en
heal.identifier.secondary http://dx.doi.org/10.1007/s10436-009-0143-9 en
heal.publicationDate 2011 en
heal.abstract In this article we study the replication of options in security markets X with a finite number of states. Specifically, we study the existence of maximal submarkets (subspaces) Y of X so that any option written on the elements of Y is replicated by a marketed asset x of X. So inside these subspaces the pricing problem is simple because any option is priced by the replicating portfolio. Using the theory of lattice-subspaces and positive bases developed by Polyrakis (Trans Am Math Soc 348:2793-2810, 1996; 351:4183-4203, 1999), we identify the set of all maximal replicated subspaces. In particular, for any maximal replicated subspace we determine a positive basis of the subspace. Moreover we show that the union of all maximal replicated subspaces is the set of all marketed securities x ε X so that any option written on x is replicated. So we determine also the set of securities with replicated options. © 2009 Springer-Verlag. en
heal.journalName Annals of Finance en
dc.identifier.doi 10.1007/s10436-009-0143-9 en
dc.identifier.volume 7 en
dc.identifier.issue 3 en
dc.identifier.spage 407 en
dc.identifier.epage 423 en

Files in this item

Files Size Format View

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record