A dynamic version of the super-replication theorem under proportional transaction costs

DOI10.1080/07362994.2021.1990083MaRDI QIDQ5876577zbMATH OpenOpenAlexFDO

Authors Francesca Biagini, Thomas Reitsam

Publication date 1 February 2023

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2107.02628

zbMATH Keywords

proportional transaction costssuper-replicationconsistent price systems

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15) General theory of stochastic processes (60G07)

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Cites work

• scientific article; zbMATH DE number 3778410 (Why is no real title available?)
• A closed-form solution to the problem of super-replication under transaction costs
• A general version of the fundamental theorem of asset pricing
• A super-replication theorem in Kabanov's model of transaction costs
• Admissible Trading Strategies Under Transaction Costs
• Consistent price systems and face-lifting pricing under transaction costs
• Duality for pathwise superhedging in continuous time
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• Hedging and liquidation under transaction costs in currency markets
• Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
• Markets with transaction costs. Mathematical theory.
• Model-free superhedging duality
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
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• Robust estimation of superhedging prices
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• Super-replication under proportional transaction costs: From discrete to continuous-time models
• Superhedging and dynamic risk measures under volatility uncertainty
• The fundamental theorem of asset pricing for continuous processes under small transaction costs
• The super-replication theorem under proportional transaction costs revisited

Cited in

(12)

• The face-lifting theorem for proportional transaction costs in multiasset models
• scientific article; zbMATH DE number 2050998 (Why is no real title available?)
• On Super-Replication in Discrete Time under Transaction Costs
• A note on super-replicating strategies
• Pricing under dynamic risk measures
• scientific article; zbMATH DE number 2127972 (Why is no real title available?)
• A super-replication theorem in Kabanov's model of transaction costs
• On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs
• scientific article; zbMATH DE number 1874299 (Why is no real title available?)
• Super-replication under proportional transaction costs: From discrete to continuous-time models
• A closed-form solution to the problem of super-replication under transaction costs
• The super-replication theorem under proportional transaction costs revisited

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