Markets that don't replicate any option

被引：16

作者：

Aliprantis, CD ^{[1
]}

Tourky, R

机构：

[1] Purdue Univ, Dept Econ, W Lafayette, IN 47907 USA

[2] Univ Melbourne, Dept Econ, Melbourne, Vic 3010, Australia

来源：

ECONOMICS LETTERS | 2002年 / 76卷 / 03期

基金：

美国国家科学基金会; 澳大利亚研究理事会;

关键词：

options; option replication; incomplete markets; resolving securities;

D O I：

10.1016/S0165-1765(02)00084-8

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

It is well known from the work of S. Ross that a securities market is complete if and only if each call option can be replicated using available securities. The present short note announces the following surprising complementary result to Ross' important contribution: If the number of securities is less than half the number of states of the world, then (generically) not a single option can be replicated by traded securities. This provides further strong motivation for relaxing the assumption of a perfect market in the theory of option pricing and portfolio insurance. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：443 / 447

页数：5

共 10 条

[1]

[Anonymous], 1996, THEORY INCOMPLETE MA

[2] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].