Spanning with American options

• 成果类型: Article
• 署名作者: Baptista, AM
• 署名单位: University of Arizona
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/S0022-0531(03)00037-1
• 发表日期: 2003
• 页码: 264-289
• 关键词: options; Spanning; incomplete markets; equilibrium

摘要

In this paper, we investigate the existence of multiperiod American options generating dynamically complete markets. We show that if a primitive security separates states at the terminal date, then generically there exist multiperiod American options on that security generating dynamically complete markets. We also provide an example of an economy in which multiperiod American options on a primitive security generate dynamically complete markets, while multiperiod European options do not. (C) 2003 Elsevier Science (USA). All rights reserved.