The space of outcomes of semi-static trading strategies need not be closed
Acciaio, B., Larsson, M. & Schachermayer, W.
(2017).
The space of outcomes of semi-static trading strategies need not be closed.
Finance and Stochastics,
21(3), 741-751.
https://doi.org/10.1007/s00780-017-0329-3
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.
| Item Type | Article |
|---|---|
| Copyright holders | © 2017 Springer-Verlag Berlin Heidelberg |
| Departments | LSE > Academic Departments > Statistics |
| DOI | 10.1007/s00780-017-0329-3 |
| Date Deposited | 14 Mar 2017 |
| Acceptance Date | 13 Mar 2017 |
| URI | https://researchonline.lse.ac.uk/id/eprint/69804 |
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- https://www.scopus.com/pages/publications/85019719244 (Scopus publication)
- https://link.springer.com/journal/780 (Official URL)