Super-replication on illiquid markets -- semistatic approach
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Publication:4989152
DOI10.4064/BC122-12zbMATH Open1460.91275OpenAlexW3130485902MaRDI QIDQ4989152FDOQ4989152
Authors: Agnieszka Rygiel 
Publication date: 20 May 2021
Published in: Banach Center Publications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4064/bc122-12
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Cites Work
- Convex Analysis
- Arbitrage and duality in nondominated discrete-time models
- Model-free superhedging duality
- A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
- The Skorokhod embedding problem and model-independent bounds for option prices
- Duality and convergence for binomial markets with friction
- Robust hedging with proportional transaction costs
- On arbitrage and duality under model uncertainty and portfolio constraints
- Volatility misspecification, option pricing and superreplication via coupling
- Super-replication with nonlinear transaction costs and volatility uncertainty
- Duality Formulas for Robust Pricing and Hedging in Discrete Time
- Pointwise Arbitrage Pricing Theory in Discrete Time
Cited In (9)
- Model-free price bounds under dynamic option trading
- Pricing illiquid options with \(N+1\) liquid proxies using mixed dynamic-static hedging
- Realizable portfolio value in non-liquid financial markets.
- Hedging in an illiquid binomial market
- On the super-replicating approach when trading a derivative is limited
- Super-replication with nonlinear transaction costs and volatility uncertainty
- Superhedging in illiquid markets
- Dual representation of superhedging costs in illiquid markets
- Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
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