Duality and convergence for binomial markets with friction

DOI10.1007/s00780-012-0192-1zbMath1277.91157arXiv1106.2095WikidataQ57635881 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 transform; limit theorem; super-replication; liquidity; European options; \(G\)-expectation; binomial model; smooth volatility process; trading cost

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G10: Portfolio theory

Related Items

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

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