PreprintCC BY 4.0arXiv
A note on markets with semi-static trading strategies
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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BibTeX
@misc{rasonyi2026note,
title = {{A note on markets with semi-static trading strategies}},
author = {Miklós Rásonyi},
howpublished = {arXiv},
year = {2026},
month = sep,
doi = {10.48550/arxiv.2608.30558},
eprint = {2608.30558},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2608.30558},
note = {CC BY 4.0},
}
RIS
TY - UNPB
TI - A note on markets with semi-static trading strategies
AU - Miklós Rásonyi
PY - 2026
DA - 2026/09/25
PB - arXiv
DO - 10.48550/arxiv.2608.30558
UR - https://arxiv.org/abs/2608.30558
AB - 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.
ER -