A dynamic version of the super-replication theorem under proportional transaction costs
Mathematical Finance
2021-07-07 v1 Probability
Abstract
We extend the super-replication theorems of [27] in a dynamic setting, both in the num\'eraire-based as well as in the num\'eraire-free setting. For this purpose, we generalize the notion of admissible strategies. In particular, we obtain a well-defined super-replication price process, which is right-continuous under some regularity assumptions.
Keywords
Cite
@article{arxiv.2107.02628,
title = {A dynamic version of the super-replication theorem under proportional transaction costs},
author = {Francesca Biagini and Thomas Reitsam},
journal= {arXiv preprint arXiv:2107.02628},
year = {2021}
}