Super‐replication with transaction costs under model uncertainty for continuous processes

DOI10.1111/mafi.12355zbMath1530.91564arXiv2102.02298OpenAlexW3127164253MaRDI QIDQ6054434

Masaaki Fukasawa, Miklós Rásonyi, Huy N. Chau

Publication date: 28 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.02298

zbMATH Keywords

asset pricingmartingaletransaction costsmodel uncertaintysuper-replication

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)

Related Items (1)

European option pricing with market frictions, regime switches and model uncertainty

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