Super-replication with transaction costs under model uncertainty for\n continuous processes

2021/02/03 by Huy N. Chau, Chau, Huy N., Masaaki Fukasawa +3
Economics, Econometrics and Finance · #Credit Risk and Financial Regulations #Economic theories and models #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2102.02298

openalex publication_date 2021/02/03 · openalex created_date 2022/07/25 · openalex updated_date 2026/07/28

Abstract

We formulate a superhedging theorem in the presence of transaction costs and\nmodel uncertainty. Asset prices are assumed continuous and uncertainty is\nmodelled in a parametric setting. Our proof relies on a new topological\nframework in which no Krein-Smulian type theorem is available.\n

Related

• Super-replication with proportional transaction cost under model\n uncertainty
• Super-replication with nonlinear transaction costs and volatility\n uncertainty
• On the quasi-sure superhedging duality with frictions
• Super-Replication with Fixed Transaction Costs
• A dynamic version of the super-replication theorem under proportional\n transaction costs