A dynamic version of the super-replication theorem under proportional\n transaction costs

2021/07/06 by Francesca Biagini, Biagini, Francesca, Thomas Reitsam +1
Economics, Econometrics and Finance · Mathematics · #60G07 #91G15 #91G20 #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.2107.02628

openalex publication_date 2021/07/06 · openalex created_date 2022/07/25 · openalex updated_date 2026/07/28

Abstract

We extend the super-replication theorems of [27] in a dynamic setting, both\nin the num 'eraire-based as well as in the num 'eraire-free setting. For this\npurpose, we generalize the notion of admissible strategies. In particular, we\nobtain a well-defined super-replication price process, which is\nright-continuous under some regularity assumptions.\n

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