期刊
ECONOMICS LETTERS
卷 76, 期 3, 页码 443-447出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/S0165-1765(02)00084-8
关键词
options; option replication; incomplete markets; resolving securities
类别
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.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据