Super-replication with nonlinear transaction costs and volatility uncertainty

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

zbMATH Keywords

limit theorems; super-replication; volatility uncertainty; hedging with friction

Mathematics Subject Classification ID

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

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