Nonreplication of options

Kountzakis, C; Polyrakis, IA; Xanthos, F

dc.contributor.author	Kountzakis, C	en
dc.contributor.author	Polyrakis, IA	en
dc.contributor.author	Xanthos, F	en
dc.date.accessioned	2014-03-01T02:11:32Z
dc.date.available	2014-03-01T02:11:32Z
dc.date.issued	2012	en
dc.identifier.issn	09601627	en
dc.identifier.uri	https://dspace.lib.ntua.gr/xmlui/handle/123456789/29936
dc.subject	Completion by options	en
dc.subject	Positive bases	en
dc.subject	Replicated options	en
dc.subject	Strongly resolving markets	en
dc.title	Nonreplication of options	en
heal.type	journalArticle	en
heal.identifier.primary	10.1111/j.1467-9965.2010.00467.x	en
heal.identifier.secondary	http://dx.doi.org/10.1111/j.1467-9965.2010.00467.x	en
heal.publicationDate	2012	en
heal.abstract	In this paper, we study the replication of options in security marketsXwith a finite number of states. Specifically, we prove that in security markets without binary vectors, for any portfolio, at mostm- 3options can be replicated wheremis the number of states. This is an essential improvement of the result of Baptista where it is proved that the set of replicated options is of measure zero. Additionally, we extend the results of Aliprantis and Tourky on the nonreplication of options by generalizing their condition that markets are strongly resolving. Our results are based on the theory of lattice-subspaces and positive bases. © 2010 Wiley Periodicals, Inc.	en
heal.journalName	Mathematical Finance	en
dc.identifier.doi	10.1111/j.1467-9965.2010.00467.x	en
dc.identifier.volume	22	en
dc.identifier.issue	3	en
dc.identifier.spage	569	en
dc.identifier.epage	584	en