OpenAlex ·

A note on markets with semi-static trading strategies

Miklós Rásonyi

Published
Source
OpenAlex
DOI
10.48550/arxiv.2608.30558
Original
Read it at the publisher
Topics
EconometricsGeneral EconomicsOptimization & ControlGeneral Finance

Abstract

We consider a discrete-time financial market model where, in addition to finitely many dynamically traded assets, there are also (possibly infinitely many) static options to choose from. We introduce the concept of small cones of random variables and present a sufficient condition for the attainable positions in the market to be closed in probability. A fundamental theorem of asset pricing is shown in the present context. Utility maximization will also be considered. We will provide economically meaningful examples of infinite dimensional small cones to demonstrate the pertinence of our approach.

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