Duality and convergence for binomial markets with friction

DOI10.1007/s00780-012-0192-1zbMath1277.91157arXiv1106.2095OpenAlexW2153310935WikidataQ57635881 ScholiaQ57635881MaRDI QIDQ354186

Yan Dolinsky, Halil Mete Soner

Publication date: 18 July 2013

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.2095

zbMATH Keywords

Legendre transformlimit theoremsuper-replicationliquidityEuropean options\(G\)-expectationbinomial modelsmooth volatility processtrading cost

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items

Merton problem in an infinite horizon and a discrete time with frictions, Super-replication with nonlinear transaction costs and volatility uncertainty, Arbitrage theory for non convex financial market models, Scaling limits for super-replication with transient price impact, Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case, Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions, Trading with small nonlinear price impact, Duality Formulas for Robust Pricing and Hedging in Discrete Time, Martingale optimal transport and robust hedging in continuous time, Robust hedging with proportional transaction costs, Weak approximation of \(G\)-expectations, Super-replication with fixed transaction costs, Existence of solutions in non-convex dynamic programming and optimal investment, Pricing European options in a discrete time model for the limit order book, Market delay and \(G\)-expectations, Approximating stochastic volatility by recombinant trees, Optimal long-term investment in illiquid markets when prices have negative memory, Super-replication on illiquid markets—semistatic approach, UTILITY MAXIMIZATION IN A BINOMIAL MODEL WITH TRANSACTION COSTS: A DUALITY APPROACH BASED ON THE SHADOW PRICE PROCESS, Hedging, arbitrage and optimality with superlinear frictions, Superreplication when trading at market indifference prices

Cites Work

• Unnamed Item
• Unnamed Item
• Hedging of game options with the presence of transaction costs
• Option hedging for small investors under liquidity costs
• Weak approximation of \(G\)-expectations
• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• A general version of the fundamental theorem of asset pricing
• On the possibility of hedging options in the presence of transaction costs
• 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
• Dual formulation of second order target problems
• Consistent price systems and face-lifting pricing under transaction costs
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Randomized Stopping Times and American Option Pricing with Transaction Costs
• MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
• Hedging of Claims with Physical Delivery under Convex Transaction Costs
• The Dynamic Programming Equation for Second Order Stochastic Target Problems
• From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• LIQUIDITY IN A BINOMIAL MARKET
• Distances of Probability Measures and Random Variables
• Convex Analysis