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Market completion using options

Abstract:

Mathematical models for financial asset prices which include, for example, stochastic volatility or jumps are incomplete in that derivative securities are generally not replicable by trading in the underlying. In earlier work (2004) the first author provided a geometric condition under which trading in the underlying and a finite number of vanilla options completes the market. We complement this result in several ways. First, we show that the geometric condition is not necessary and a weaker,...

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Author
Publication date:
2007-10-15
Keywords:
Pubs id:
pubs:189187
UUID:
uuid:d3680c01-bf1f-433b-961f-7fd14407a45b
Local pid:
pubs:189187
Source identifiers:
189187
Deposit date:
2012-12-19

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