The space of outcomes of semi-static trading strategies need not be closed (Q2364534)
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| English | The space of outcomes of semi-static trading strategies need not be closed |
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The space of outcomes of semi-static trading strategies need not be closed (English)
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21 July 2017
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Semi-static trading strategies make frequent appearances in mathematical finance, where dynamic trading in a liquid asset is combined with static buy-and-hold positions in options on that asset. We show that the space of outcomes of such strategies can have very poor closure properties when all European options for a fixed date \(T\) are available for static trading. This causes problems for optimal investment, and stands in sharp contrast to the purely dynamic case classically considered in mathematical finance.
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semi-static trading strategies
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semi-static completeness
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semi-static replication
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0.7905677556991577
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0.7831668853759766
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0.700682520866394
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0.6975066065788269
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0.6963605880737305
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