Spanning, valuation and options View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

1991-03

AUTHORS

Donald J. Brown, Stephen A. Ross

ABSTRACT

We model the space of marketed assets as a Riesz space of commoditics. In this setting two altenative characterizations are given of the space of continuous options on a bounded asset,s, with limited liability. The first characterization represents every continuous option ons as the uniform limit of portfolios of calls ons. The second characterization represents an option as a continuous sum (or integral) of Arrow-Debreu securities, with respect tos. The pricing implications of these representations are explored. In particular, the Breeden-Littzenberger pricing formula is shown to be a direct consequence of the integral representation theorem. More... »

PAGES

3-12

References to SciGraph publications

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/bf01210570

DOI

http://dx.doi.org/10.1007/bf01210570

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1031639441


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