On the quasi-sure superhedging duality with frictions

DOI10.1007/s00780-019-00411-5zbMath1433.91168arXiv1809.07516OpenAlexW2991100941MaRDI QIDQ2282967

Erhan Bayraktar, Matteo Burzoni

Publication date: 27 December 2019

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

Full work available at URL: https://arxiv.org/abs/1809.07516

zbMATH Keywords

model uncertaintyportfolio constraintsproportional transaction costssuperhedgingrobust finance

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (3)

Pathwise superhedging under proportional transaction costs ⋮ MODEL-FREE WEAK NO-ARBITRAGE AND SUPERHEDGING UNDER TRANSACTION COSTS BEYOND EFFICIENT FRICTION ⋮ Utility Maximization with Proportional Transaction Costs Under Model Uncertainty

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