Superreplication with proportional transaction cost under model uncertainty
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Publication:5241565
DOI10.1111/mafi.12197zbMath1426.91283arXiv1707.09158OpenAlexW2963136390WikidataQ129142594 ScholiaQ129142594MaRDI QIDQ5241565
Xiaolu Tan, Shuoqing Deng, Bruno Bouchard
Publication date: 31 October 2019
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1707.09158
Related Items (6)
Pathwise superhedging under proportional transaction costs ⋮ Super‐replication with transaction costs under model uncertainty for continuous processes ⋮ MODEL-FREE WEAK NO-ARBITRAGE AND SUPERHEDGING UNDER TRANSACTION COSTS BEYOND EFFICIENT FRICTION ⋮ On the quasi-sure superhedging duality with frictions ⋮ The Robust Superreplication Problem: A Dynamic Approach ⋮ Utility Maximization with Proportional Transaction Costs Under Model Uncertainty
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