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A note on market completeness with American put options

dc.contributor.authorCampi, Luciano
dc.date.accessioned2011-02-16T14:21:39Z
dc.date.available2011-02-16T14:21:39Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5710
dc.language.isoenen
dc.subjectfinancial marketen
dc.subjectput optionsen
dc.subject.ddc332en
dc.subject.classificationjelG1en
dc.subject.classificationjelG12en
dc.subject.classificationjelD4en
dc.titleA note on market completeness with American put optionsen
dc.typeChapitre d'ouvrage
dc.contributor.editoruniversityotherLaboratoire de Finance des Marchés d'Energies (FiME) Université Paris Dauphine - Paris IX;France
dc.description.abstractenWe consider a non necessarily complete financial market with one bond and one risky asset, whose price process is modelled by a suitably integrable, strictly positive, càdlàg process $S$ over $[0, T]$. Every option price is defined as the conditional expectation under a given equivalent (true) martingale measure $\mathbb P$, the same for all options. We show that every positive contingent claim on $S$ can be approximately replicated (in $L^2$-sense) by investing dynamically in the underlying and statically in all American put options (of every strike price $k$ and with the same maturity $T$). We also provide a counter-example to static hedging with European call options of all strike prices and all maturities $t\leq T$.en
dc.identifier.citationpages73-82
dc.relation.ispartoftitleInspired by Finance. The Musiela Festschrift
dc.relation.ispartofeditorZariphopoulou, Thaleia
dc.relation.ispartofeditorRutkowski, Marek
dc.relation.ispartofeditorKabanov, Yuri
dc.relation.ispartofpublnameSpringer
dc.relation.ispartofpublcityBerlin
dc.relation.ispartofdate2014
dc.relation.ispartofurlhttp://dx.doi.org/10.1007/978-3-319-02069-3
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/978-3-319-02069-3_4
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00566235/fr/en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.ispartofisbn978-3-319-02068-6


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