The super-replication problem via probabilistic methods

DOI10.1214/aoap/1050689602zbMath1029.60052OpenAlexW2125946349MaRDI QIDQ1413690

Paulius Jakubėnas, Michał Ryznar, Shlomo Levental

Publication date: 17 November 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1050689602

zbMATH Keywords

transaction costssuper-replicationhedging optionsrobust methodbuy-and-hold

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05)

Related Items (8)

American contingent claims under small proportional transaction costs ⋮ Consistent price systems and face-lifting pricing under transaction costs ⋮ Consistent price systems in multiasset markets ⋮ Super-replication with fixed transaction costs ⋮ The scaling limit of superreplication prices with small transaction costs in the multivariate case ⋮ Continuous-time duality for superreplication with transient price impact ⋮ American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions ⋮ LIMIT THEOREMS FOR PARTIAL HEDGING UNDER TRANSACTION COSTS

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Martingales and stochastic integrals in the theory of continuous trading
• A closed-form solution to the problem of super-replication under transaction costs
• On the possibility of hedging options in the presence of transaction costs
• Explicit solution to the multivariate super-replication problem under transaction costs.
• There is no nontrivial hedging portfolio for option pricing with transaction costs
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• A note on super-replicating strategies

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