The space of outcomes of semi-static trading strategies need not be closed
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- A. Galichon & P. Henry-Labord`ere & N. Touzi, 2014. "A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options," Papers 1401.3921, arXiv.org.
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Cited by:
- Marcel Nutz & Johannes Wiesel & Long Zhao, 2022. "Limits of Semistatic Trading Strategies," Papers 2204.12251, arXiv.org.
- Francesca Biagini & Alessandro Doldi & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis, 2023. "Collective Arbitrage and the Value of Cooperation," Papers 2306.11599, arXiv.org, revised May 2024.
- Marcel Nutz & Johannes Wiesel & Long Zhao, 2022. "Martingale Schr\"odinger Bridges and Optimal Semistatic Portfolios," Papers 2204.12250, arXiv.org.
- Marcel Nutz & Johannes Wiesel & Long Zhao, 2023. "Martingale Schrödinger bridges and optimal semistatic portfolios," Finance and Stochastics, Springer, vol. 27(1), pages 233-254, January.
- Julian Sester, 2023. "On intermediate Marginals in Martingale Optimal Transportation," Papers 2307.09710, arXiv.org, revised Nov 2023.
- Marcel Nutz & Johannes Wiesel & Long Zhao, 2023. "Limits of semistatic trading strategies," Mathematical Finance, Wiley Blackwell, vol. 33(1), pages 185-205, January.
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More about this item
Keywords
semi-static trading strategies; semi-static completeness; semi-static replication;All these keywords.
JEL classification:
- F3 - International Economics - - International Finance
- G3 - Financial Economics - - Corporate Finance and Governance
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2018-06-18 (Market Microstructure)
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