The space of outcomes of semi-static trading strategies need not be closed

DOI10.1007/S00780-017-0329-3zbMath1416.91410arXiv1606.00631OpenAlexW2419491292MaRDI QIDQ2364534

Martin Larsson, Walter Schachermayer, Beatrice Acciaio

Publication date: 21 July 2017

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.00631

zbMATH Keywords

semi-static trading strategiessemi-static completenesssemi-static replication

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

Related Items (5)

Limits of semistatic trading strategies ⋮ On intermediate marginals in martingale optimal transportation ⋮ A pointwise bipolar theorem ⋮ On the support of extremal martingale measures with given marginals: the countable case ⋮ Martingale Schrödinger bridges and optimal semistatic portfolios

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