The space of outcomes of semi-static trading strategies need not be closed
The space of outcomes of semi-static trading strategies need not be closed
复制标题
半静态交易策略的结果空间不需要封闭
DOI：
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发表时间：
2016
影响因子：
1.7
通讯作者：
W. Schachermayer
中科院分区：
文献类型：
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作者：
Beatrice Acciaio;Martin Larsson;W. Schachermayer
半静态交易策略经常出现在数学金融中，在数学金融中，流动资产的动态交易与该资产期权的静态买入并持有头寸相结合。我们证明，当固定日期的所有欧式期权T$T$都可用于静态交易时，这类策略的结果空间可能具有非常差的封闭性。这导致了最优投资的问题，与数学金融中经典考虑的纯动态情况形成了鲜明对比。
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$T$ 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.