Super-replication on illiquid markets -- semistatic approach

DOI10.4064/BC122-12MaRDI QIDQ4989152zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Super-replication with nonlinear transaction costs and volatility uncertainty
• Superhedging in illiquid markets
• Superreplication under model uncertainty in discrete time
• Robust static super-replication of barrier options
• Dual representation of superhedging costs in illiquid markets

Cites work

• A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
• Arbitrage and duality in nondominated discrete-time models
• Convex Analysis
• Duality Formulas for Robust Pricing and Hedging in Discrete Time
• Duality and convergence for binomial markets with friction
• Model-free superhedging duality
• On arbitrage and duality under model uncertainty and portfolio constraints
• Pointwise Arbitrage Pricing Theory in Discrete Time
• Robust hedging with proportional transaction costs
• Super-replication with nonlinear transaction costs and volatility uncertainty
• The Skorokhod embedding problem and model-independent bounds for option prices
• Volatility misspecification, option pricing and superreplication via coupling

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
• Super-replication with nonlinear transaction costs and volatility uncertainty
• On the super-replicating approach when trading a derivative is limited
• 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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