Super-replication with nonlinear transaction costs and volatility uncertainty
From MaRDI portal
Publication:303967
DOI10.1214/15-AAP1130zbMath1415.91276arXiv1411.1229MaRDI QIDQ303967
Selim Gökay, Peter Bank, Yan Dolinsky
Publication date: 23 August 2016
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1411.1229
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
SHORTFALL RISK MINIMIZATION UNDER FIXED TRANSACTION COSTS, Duality Formulas for Robust Pricing and Hedging in Discrete Time, Super-replication on illiquid markets—semistatic approach, Martingale transport with homogeneous stock movements, Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework, Quantile hedging in a semi-static market with model uncertainty, Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty, Option replication with transaction cost under Knightian uncertainty, Scaling limits for super-replication with transient price impact
Cites Work
- Unnamed Item
- Consistent price systems under model uncertainty
- Duality and convergence for binomial markets with friction
- Robust hedging with proportional transaction costs
- Martingale representation theorem for the \(G\)-expectation
- Hedging of game options under model uncertainty in discrete time
- A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
- Volatility misspecification, option pricing and superreplication via coupling
- A general version of the fundamental theorem of asset pricing
- On the possibility of hedging options in the presence of transaction costs
- Convex measures of risk and trading constraints
- Liquidity risk and arbitrage pricing theory
- Limit theorem on option replication cost with transaction costs
- There is no nontrivial hedging portfolio for option pricing with transaction costs
- Arbitrage and duality in nondominated discrete-time models
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
- Superhedging and Dynamic Risk Measures under Volatility Uncertainty
- From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- LIQUIDITY IN A BINOMIAL MARKET
- Stochastic finance. An introduction in discrete time