Option spanning beyond L_p-models

2016/03/03 by Niushan Gao, Gao, Niushan, Foivos Xanthos +1 · 1 citation
Economics, Econometrics and Finance · Health Professions · Mathematics · #Advanced Banach Space Theory #FOS: Economics and business #Healthcare Operations and Scheduling Optimization #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1603.01288

openalex publication_date 2016/03/03 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

\beginabstract The aim of this paper is to study the spanning power of options in a static financial market that allows non-integrable assets. Our findings extend and unify the results in [8,9,18] for L_p-models. We also apply the spanning power properties to the pricing problem. In particular, we show that prices on call and put options of a limited liability asset can be uniquely extended by arbitrage to all marketed contingent claims written on the asset.

Citations

• Uo-convergence and its applications to Cesàro means in Banach lattices

Cited by

• A universal approximation theorem and its applications to vector lattice theory

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