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

DOI10.1080/07362994.2021.1990083OpenAlexW3210929321MaRDI QIDQ5876577FDOQ5876577

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

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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)

Cites Work

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• The super-replication theorem under proportional transaction costs revisited
• Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
• Super-replication under proportional transaction costs: From discrete to continuous-time models
• Robust superhedging with jumps and diffusion
• Duality for pathwise superhedging in continuous time
• Pathwise superhedging on prediction sets
• Robust estimation of superhedging prices

Cited In (12)

• Title not available (Why is that?)
• Title not available (Why is that?)
• A super-replication theorem in Kabanov's model of transaction costs
• Title not available (Why is that?)
• On Super-Replication in Discrete Time under Transaction Costs
• A note on super-replicating strategies
• A closed-form solution to the problem of super-replication under transaction costs
• On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs
• Pricing under dynamic risk measures
• The super-replication theorem under proportional transaction costs revisited
• The face-lifting theorem for proportional transaction costs in multiasset models
• Super-replication under proportional transaction costs: From discrete to continuous-time models

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