MODEL-FREE WEAK NO-ARBITRAGE AND SUPERHEDGING UNDER TRANSACTION COSTS BEYOND EFFICIENT FRICTION

DOI10.1142/s0219024923500164OpenAlexW4387405228MaRDI QIDQ6119771

Unnamed Author, Unnamed Author

Publication date: 20 February 2024

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024923500164

zbMATH Keywords

transaction costsmodel uncertaintysuperhedgingmodel-free weak no-arbitrage

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Set-valued functions (26E25) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS

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