We study a financial market containing an infinite number of assets, where each asset price is driven by an idiosyncratic random source as well as by a systematic noise term. Introducing 2 asymptotic assetsquot; which correspond to certain infinitely well diversified portfolios we study absence...

This paper shows how to value options with stochastic lives, i.e. options which may be cancelled but where the underlying stocks retain their value. The executive stock option, which is cancelled if the executive takes a job in another firm, is a typical example. The paper also contains a...