SPANNING AND COMPLETENESS IN MARKETS WITH CONTINGENT CLAIMS

被引：55

作者：

GREEN, RC ^{[1
]}

JARROW, RA ^{[1
]}

机构：

[1] CORNELL UNIV,SC JOHNSON GRAD SCH MANAGEMENT,ITHACA,NY 14853

来源：

关键词：

D O I：

10.1016/0022-0531(87)90014-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：202 / 210

页数：9

共 17 条

[1]

ARDITTI FD, 1980, J FINAN QUANT ANAL, V50, P1

[2]

BARON DP, 1976, AM EC REV, V66, P104

[3] PRICES OF STATE-CONTINGENT CLAIMS IMPLICIT IN OPTION PRICES [J].

BREEDEN, DT ;

LITZENBERGER, RH .

[4]

Breiman L., 1968, PROBABILITY

[5]

BROWN DJ, 1980, UNPUB SEMINAR NOTES

[6]

COTLAR M, 1974, INTRO FUNCTIONAL ANA

[7]

DEANGELO H, 1981, AM ECON REV, V71, P18

[8] THEORY OF FIRM IN AN ECONOMY WITH INCOMPLETE MARKETS [J].

EKERN, S ;

WILSON, R .

BELL JOURNAL OF ECONOMICS, 1974, 5 (01) :171-180

[9] MARTINGALES AND ARBITRAGE IN MULTIPERIOD SECURITIES MARKETS [J].

HARRISON, JM ;

KREPS, DM .

[10]

HELLWIG MF, 1981, AM ECON REV, V71, P155