Super-replication with proportional transaction cost under model uncertainty
Probability
2017-07-31 v1
Abstract
We consider a discrete time financial market with proportional transaction cost under model uncertainty, and study a super-replication problem. We recover the duality results that are well known in the classical dominated context. Our key argument consists in using a randomization technique together with the minimax theorem to convert the initial problem to a frictionless problem set on an enlarged space. This allows us to appeal to the techniques and results of Bouchard and Nutz (2015) to obtain the duality result.
Keywords
Cite
@article{arxiv.1707.09158,
title = {Super-replication with proportional transaction cost under model uncertainty},
author = {Bruno Bouchard and Shuoqing Deng and Xiaolu Tan},
journal= {arXiv preprint arXiv:1707.09158},
year = {2017}
}