Super-replication with nonlinear transaction costs and volatility uncertainty
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Publication:303967
DOI10.1214/15-AAP1130zbMATH Open1415.91276arXiv1411.1229MaRDI QIDQ303967FDOQ303967
Authors: Peter Bank, Yan Dolinsky, Selim Gökay 
Publication date: 23 August 2016
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: We study super-replication of contingent claims in an illiquid market with model uncertainty. Illiquidity is captured by nonlinear transaction costs in discrete time and model uncertainty arises as our only assumption on stock price returns is that they are in a range specified by fixed volatility bounds. We provide a dual characterization of super-replication prices as a supremum of penalized expectations for the contingent claim's payoff. We also describe the scaling limit of this dual representation when the number of trading periods increases to infinity. Hence, this paper complements the results in [11] and [19] for the case of model uncertainty.
Full work available at URL: https://arxiv.org/abs/1411.1229
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Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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Cited In (24)
- Superreplication when trading at market indifference prices
- Duality and convergence for binomial markets with friction
- Superreplication under volatility uncertainty for measurable claims
- Shortfall risk minimization under fixed transaction costs
- Option replication with transaction cost under Knightian uncertainty
- Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework
- Quantile hedging in a semi-static market with model uncertainty
- On the super-replicating approach when trading a derivative is limited
- Superhedging in illiquid markets
- Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty
- Dual representation of superhedging costs in illiquid markets
- Duality Formulas for Robust Pricing and Hedging in Discrete Time
- Superreplication under model uncertainty in discrete time
- Super‐replication with transaction costs under model uncertainty for continuous processes
- Superreplication with proportional transaction cost under model uncertainty
- Super-replication in fully incomplete markets
- Scaling limits for super-replication with transient price impact
- Super-replication on illiquid markets -- semistatic approach
- Market delay and \(G\)-expectations
- Continuous-time duality for superreplication with transient price impact
- THE LEAST COST SUPER REPLICATING PORTFOLIO IN THE BOYLE–VORST MODEL WITH TRANSACTION COSTS
- Martingale transport with homogeneous stock movements
- Title not available (Why is that?)
- Super-replication under proportional transaction costs: From discrete to continuous-time models
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