The space of outcomes of semi-static trading strategies need not be closed

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Author
Acciaio, Beatrice
Larsson, Martin
Schachermayer, Walter
Date
2017-07
Type
  • Journal Article
Publication status
published
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Journal / series
Finance and Stochastics
Volume
21(3)
Pages / Article No.
741 - 751
Publisher
Springer
Subject
Semi-static trading strategies; Semi-static completeness; Semi-static replication
Organisational unit
09546 - Larsson, Martin / Larsson, Martin  
09546 - Larsson, Martin / Larsson, Martin  
Funding
163425 - Tractable Stopping Problems in Finance (SNF)
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