Superreplication with proportional transaction cost under model uncertainty

DOI10.1111/mafi.12197zbMath1426.91283arXiv1707.09158OpenAlexW2963136390WikidataQ129142594 ScholiaQ129142594MaRDI QIDQ5241565

Xiaolu Tan, Shuoqing Deng, Bruno Bouchard

Publication date: 31 October 2019

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

Full work available at URL: https://arxiv.org/abs/1707.09158

zbMATH Keywords

superreplicationdualitymodel uncertaintytransaction cost

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (6)

Pathwise superhedging under proportional transaction costs ⋮ Super‐replication with transaction costs under model uncertainty for continuous processes ⋮ MODEL-FREE WEAK NO-ARBITRAGE AND SUPERHEDGING UNDER TRANSACTION COSTS BEYOND EFFICIENT FRICTION ⋮ On the quasi-sure superhedging duality with frictions ⋮ The Robust Superreplication Problem: A Dynamic Approach ⋮ Utility Maximization with Proportional Transaction Costs Under Model Uncertainty

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