Limits of semistatic trading strategies

DOI10.1111/MAFI.12366zbMath1522.91249arXiv2204.12251OpenAlexW4312075634MaRDI QIDQ6054450

Johannes Wiesel, Marcel Nutz, 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

semistatic tradingBorwein-Lewis theorem

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Model-independent bounds for option prices -- a mass transport approach
• A survey of the Schrödinger problem and some of its connections with optimal transport
• Robust hedging of the lookback option
• Complete duality for martingale optimal transport on the line
• Martingale Schrödinger bridges and optimal semistatic portfolios
• The space of outcomes of semi-static trading strategies need not be closed
• Consistent price systems and face-lifting pricing under transaction costs
• A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
• The mathematics of arbitrage
• Stochastic Finance
• The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
• Closedness of sum spaces and the generalized Schrödinger problem
• Decomposition of Multivariate Functions
• Weak Dynamic Programming for Generalized State Constraints

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