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- W2002462793 abstract "Abstract This paper presents several approximation theorems of a general contingent claim in terms of index options. We demonstrate that any contingent claim on the primitive securities in an infinite state economy can be approximated arbitrarily close by a portfolio of index options. In addition, these index options are associated with the same payout function, which belongs to a large and explicit class of one-variable measurable functions. I also characterize the layer structure of a general contingent claim." @default.
- W2002462793 created "2016-06-24" @default.
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- W2002462793 date "2014-08-01" @default.
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- W2002462793 title "Spanning with indexes" @default.
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- W2002462793 doi "https://doi.org/10.1016/j.jmateco.2014.06.007" @default.
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