A super-replication theorem in Kabanov's model of transaction costs

DOI10.1007/s00780-006-0022-4zbMath1126.91024OpenAlexW2160042775MaRDI QIDQ881423

Walter Schachermayer, Luciano Campi

Publication date: 29 May 2007

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-006-0022-4

zbMATH Keywords

proportional transaction costssuper-replication theoremefficient frictionforeign exchange markets

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)

Related Items (47)

General indifference pricing with small transaction costs ⋮ Strong supermartingales and limits of nonnegative martingales ⋮ IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING ⋮ SHADOW PRICES FOR CONTINUOUS PROCESSES ⋮ Duality theory for portfolio optimisation under transaction costs ⋮ Efficient portfolios in financial markets with proportional transaction costs ⋮ A note on super-hedging for investor-producers ⋮ Reflected BSDEs in non-convex domains ⋮ NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS ⋮ Admissible Trading Strategies Under Transaction Costs ⋮ On the existence of shadow prices ⋮ On the existence of shadow prices for optimal investment with random endowment ⋮ SHORTFALL RISK MINIMIZATION UNDER FIXED TRANSACTION COSTS ⋮ Representation results for law invariant time consistent functions ⋮ Semimartingale price systems in models with transaction costs beyond efficient friction ⋮ Neural network approximation for superhedging prices ⋮ Optimal investment with random endowments and transaction costs: duality theory and shadow prices ⋮ Optimal investment and consumption with labor income in incomplete markets ⋮ Asymptotic arbitrage in large financial markets with friction ⋮ Consistent price systems and face-lifting pricing under transaction costs ⋮ No-arbitrage of second kind in countable markets with proportional transaction costs ⋮ A Complement to the Grigoriev Theorem for the Kabanov Model ⋮ Utility maximization problem with random endowment and transaction costs: when wealth may become negative ⋮ Continuous time trading of a small investor in a limit order market ⋮ The super-replication theorem under proportional transaction costs revisited ⋮ On the density of properly maximal claims in financial markets with transaction costs ⋮ Multivariate utility maximization with proportional transaction costs ⋮ The fundamental theorem of asset pricing for continuous processes under small transaction costs ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ Unnamed Item ⋮ Problems of Mathematical Finance by Stochastic Control Methods ⋮ Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment ⋮ NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS ⋮ Robust utility maximisation in markets with transaction costs ⋮ The fundamental theorem of asset pricing under transaction costs ⋮ Asymptotic arbitrage with small transaction costs ⋮ Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs ⋮ Small transaction costs, absence of arbitrage and consistent price systems ⋮ Hedging of American options under transaction costs ⋮ Robust No Arbitrage of the Second Kind with a Continuum of Assets and Proportional Transaction Costs ⋮ General financial market model defined by a liquidation value process ⋮ Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs ⋮ Continuous-time duality for superreplication with transient price impact ⋮ Asset price bubbles in markets with transaction costs ⋮ Asymptotics and duality for the Davis and Norman problem ⋮ A dynamic version of the super-replication theorem under proportional transaction costs ⋮ Superreplication when trading at market indifference prices

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