Arbitrage and Hedging in model-independent markets with frictions
Mathematical Finance
2016-08-26 v4
Abstract
We provide a Fundamental Theorem of Asset Pricing and a Superhedging Theorem for a model independent discrete time financial market with proportional transaction costs. We consider a probability-free version of the Robust No Arbitrage condition introduced in Schachermayer ['04] and show that this is equivalent to the existence of Consistent Price Systems. Moreover, we prove that the superhedging price for a claim g coincides with the frictionless superhedging price of g for a suitable process in the bid-ask spread.
Keywords
Cite
@article{arxiv.1512.01488,
title = {Arbitrage and Hedging in model-independent markets with frictions},
author = {Matteo Burzoni},
journal= {arXiv preprint arXiv:1512.01488},
year = {2016}
}