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- W3122189626 abstract "In a seminal paper, Ross (Q J Econ 90:75-89, 1976) shows that if security markets are resolving, then there exist (non-redundant) options that generate complete security markets. Complementing his work, Aliprantis and Tourky (2002) show that if security markets are strongly resolving and the number of primitive securities is less than half the number of states, then every option is non-redundant. Our paper extends Aliprantis and Tourky's result to the case when their condition on the number of primitive securities is not imposed. Specifically, we show that if there exists no binary payoff vector in the asset span, then for each portfolio there exists a set of exercise prices of full measure such that any option on the portfolio with an exercise price in this set is non-redundant. Since the condition that there exists no binary payoff vector in the asset span holds generically, redundant options are thus rare." @default.
- W3122189626 created "2021-02-01" @default.
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- W3122189626 date "2006-06-12" @default.
- W3122189626 modified "2023-09-26" @default.
- W3122189626 title "On the Non-Existence of Redundant Options" @default.
- W3122189626 hasPublicationYear "2006" @default.
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