Option spanning beyond $L_p$-models
| Autor: | Gao, Niushan, Xanthos, Foivos |
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| Rok vydání: | 2016 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | \begin{abstract} The aim of this paper is to study the spanning power of options in a static financial market that allows non-integrable assets. Our findings extend and unify the results in [8,9,18] for $L_p$-models. We also apply the spanning power properties to the pricing problem. In particular, we show that prices on call and put options of a limited liability asset can be uniquely extended by arbitrage to all marketed contingent claims written on the asset. |
| Databáze: | arXiv |
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