Drees, Burkhard; Eckwert, Bernhard - In: Scandinavian Journal of Economics 97 (1995) 3, pp. 459-67
The traditional valuation formulas for options were derived in a complete market setting and were based on the no-arbitrage principle. If the asset structure is incomplete, the presence of options affects the linear subspace spanned by the payoffs of the existing assets, and the pricing of...