Options spanning in sublattice spaces

Market completeness is a broad assumption used in economical finance. It is in which any portfolio payoff can be replicated by underlying assets, or “basic” assets. The completion of markets using options has been established by Ross (1976), using other methodologies, and the relationship of options and lattice spaces by Brown and Ross (1991). I will expand this idea to a model that has infinity many states, and to a multi-period model. I will show that we are able to complete markets with derivative assets, called options, using lattice theory.

Faculty Supervisor:

Foivos Xanthos

Student:

Partner:

University of Ljubljana

Discipline:

Mathematics

Sector:

Finance and Insurance

University:

Toronto Metropolitan University

Program:

Globalink Research Award

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