Robust hedging with proportional transaction costs

DOI10.1007/s00780-014-0227-xzbMath1304.91189arXiv1302.0590OpenAlexW3125589302WikidataQ57635873 ScholiaQ57635873MaRDI QIDQ468414

Yan Dolinsky, Halil Mete Soner

Publication date: 7 November 2014

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

Full work available at URL: https://arxiv.org/abs/1302.0590

zbMATH Keywords

weak convergencesuperreplicationtransaction costsrobust hedgingEuropean optionsoptimal transportfundamental theorem of asset pricingconsistent price systemshedging with constraints

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (33)

Super-replication with nonlinear transaction costs and volatility uncertainty ⋮ An explicit martingale version of the one-dimensional Brenier theorem ⋮ Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty ⋮ Robust pricing-hedging dualities in continuous time ⋮ Robust Utility Maximization in Discrete-Time Markets with Friction ⋮ Martingale optimal transport duality ⋮ Strategic Execution Trajectories ⋮ Super‐replication with transaction costs under model uncertainty for continuous processes ⋮ On intermediate marginals in martingale optimal transportation ⋮ Arbitrage in markets with bid-ask spreads. The fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account ⋮ Constrained optimal transport ⋮ Duality Formulas for Robust Pricing and Hedging in Discrete Time ⋮ Martingale optimal transport and robust hedging in continuous time ⋮ Martingale optimal transport in the Skorokhod space ⋮ Robust hedging of options on a leveraged exchange traded fund ⋮ Discretisation and duality of optimal Skorokhod embedding problems ⋮ Fundamental theorem of asset pricing under fixed and proportional transaction costs ⋮ On the quasi-sure superhedging duality with frictions ⋮ An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint ⋮ Robust superhedging with jumps and diffusion ⋮ A unified framework for robust modelling of financial markets in discrete time ⋮ Utility Maximization with Proportional Transaction Costs Under Model Uncertainty ⋮ Option replication with transaction cost under Knightian uncertainty ⋮ Super-replication on illiquid markets—semistatic approach ⋮ Martingale transport with homogeneous stock movements ⋮ A constructive method for convex solutions of a class of nonlinear Black-Scholes equations ⋮ Reduced-form framework under model uncertainty ⋮ Arbitrage and duality in nondominated discrete-time models ⋮ Pathwise versions of the Burkholder-Davis-Gundy inequality ⋮ Universal arbitrage aggregator in discrete-time markets under uncertainty ⋮ Model-independent superhedging under portfolio constraints ⋮ Consistent price systems under model uncertainty ⋮ Optimal transport and Skorokhod embedding

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