Convex Duality with Transaction Costs

DOI10.1287/moor.2016.0811zbMath1414.91370arXiv1502.01735OpenAlexW1513971097MaRDI QIDQ5739151

Yan Dolinsky, Halil Mete Soner

Publication date: 2 June 2017

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.01735

zbMATH Keywords

transaction costsEuropean optionssemi-static hedgingconditional full supportmodel-free hedging

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Super‐replication with transaction costs under model uncertainty for continuous processes ⋮ Pointwise Arbitrage Pricing Theory in Discrete Time ⋮ An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint

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