Limits of semistatic trading strategies

DOI10.1111/MAFI.12366MaRDI QIDQ6054450zbMATH OpenOpenAlexFDO

Authors Marcel Nutz, Johannes Wiesel, Long Zhao

Publication date 28 September 2023

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2204.12251

zbMATH Keywords

Borwein-Lewis theoremsemistatic trading

Mathematics Subject Classification ID

Financial markets (91G15)

Abstract: We show that pointwise limits of semistatic trading strategies in discrete time are again semistatic strategies. The analysis is carried out in full generality for a two-period model, and under a probabilistic condition for multi-period, multi-stock models. Our result contrasts with a counterexample of Acciaio, Larsson and Schachermayer, and shows that their observation is due to a failure of integrability rather than instability of the semistatic form. Mathematically, our results relate to the decomposability of functions as studied in the context of Schr"odinger bridges.

Recommendations

• The space of outcomes of semi-static trading strategies need not be closed
• Optimal Dynamic Trading Strategies with Risk Limits
• scientific article; zbMATH DE number 1066452
• The limit distribution of evolving strategies in financial markets
• Dynamical trading mechanisms in limit order markets
• Efficient trading with restriction
• A semi-Markovian modeling of limit order markets
• Trading strategy with stochastic volatility in a limit order book market
• On the super-replicating approach when trading a derivative is limited
• Single asset optimal trading strategies with stochastic dominance constraints

Cites work

• A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
• A survey of the Schrödinger problem and some of its connections with optimal transport
• Closedness of sum spaces and the generalized Schrödinger problem
• Complete duality for martingale optimal transport on the line
• Consistent price systems and face-lifting pricing under transaction costs
• Decomposition of Multivariate Functions
• Martingale Schrödinger bridges and optimal semistatic portfolios
• Model-independent bounds for option prices -- a mass transport approach
• Robust hedging of the lookback option
• Stochastic finance. An introduction in discrete time.
• The mathematics of arbitrage
• The Skorokhod embedding problem and model-independent bounds for option prices
• The space of outcomes of semi-static trading strategies need not be closed
• Weak dynamic programming for generalized state constraints

Cited in

(5)

• Martingale Schrödinger bridges and optimal semistatic portfolios
• The space of outcomes of semi-static trading strategies need not be closed
• Alternation Trading Proofs and Their Limitations
• Collective arbitrage and the value of cooperation
• Quadratically regularized optimal transport: existence and multiplicity of potentials

This page was built for publication: Limits of semistatic trading strategies

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6054450)