Option spanning beyond $L_p$-models
Mathematical Finance
2016-10-03 v2
Abstract
\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 -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.
Keywords
Cite
@article{arxiv.1603.01288,
title = {Option spanning beyond $L_p$-models},
author = {Niushan Gao and Foivos Xanthos},
journal= {arXiv preprint arXiv:1603.01288},
year = {2016}
}