The completion of security markets

Kountzakis, C; Polyrakis, IA

dc.contributor.author	Kountzakis, C	en
dc.contributor.author	Polyrakis, IA	en
dc.date.accessioned	2014-03-01T01:25:15Z
dc.date.available	2014-03-01T01:25:15Z
dc.date.issued	2006	en
dc.identifier.issn	15938883	en
dc.identifier.uri	https://dspace.lib.ntua.gr/xmlui/handle/123456789/17614
dc.subject	Exotic Option	en
dc.subject	Journal of Economic Literature	en
dc.title	The completion of security markets	en
heal.type	journalArticle	en
heal.identifier.primary	10.1007/s10203-006-0059-z	en
heal.identifier.secondary	http://dx.doi.org/10.1007/s10203-006-0059-z	en
heal.publicationDate	2006	en
heal.abstract	In this article we study the completion by options of a two-period security market in which the space of marketed securities is a subspace X of ℝm. Although there are important results about the completion (by options) Z of X, the problem of the determination of Z in its general form is still open. In this paper we solve this problem by determining a positive basis of Z. This method of positive bases simplifies the theory of security markets and also answers other open problems of this theory. In the classical papers of this subject, call and put options are taken with respect to the riskless bond 1 of ℝm. In this article we generalize this theory by taking call and put options with respect to different risky vectors u from a fixed vector subspace U of ℝm. This generalization was inspired by certain types of exotic option in finance. © Springer-Verlag 2006.	en
heal.journalName	Decisions in Economics and Finance	en
dc.identifier.doi	10.1007/s10203-006-0059-z	en
dc.identifier.volume	29	en
dc.identifier.issue	1	en
dc.identifier.spage	1	en
dc.identifier.epage	21	en