On the quasi-sure superhedging duality with frictions (Q2282967)

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scientific article; zbMATH DE number 7146641
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    On the quasi-sure superhedging duality with frictions
    scientific article; zbMATH DE number 7146641

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      On the quasi-sure superhedging duality with frictions (English)
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      27 December 2019
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      The authors prove the super-hedging duality for a discrete - time financial market with proportional transaction costs under model uncertainty. They do not require the strong assumption \(NA_2(P)\) and they show the super-hedging duality under the more natural condition of strict no arbitrage \(NA^s(P)\). The latter ensures that it is not possible to make profits without taking any risk; thus it generalizes the classical no-arbitrage condition in frictionless markets. They also do not assume other unnecessary hypotheses taken in [\textit{B. Bouchard} et al., Math. Finance 29, No. 3, 837--860 (2019; Zbl 1426.91283)]: (i) they do not require that transaction costs are uniformly bounded (ii) they do not require the technical assumption \(K^*_t \cap \partial \mathbb{R}^d_+= \{ 0 \}\) for any \(t=0,\cdots,T\).
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      model uncertainty
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      superhedging
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      proportional transaction costs
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      portfolio constraints
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      robust finance
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