Super-replication with transaction costs under model uncertainty for continuous processes
Mathematical Finance
2021-02-05 v1
Abstract
We formulate a superhedging theorem in the presence of transaction costs and model uncertainty. Asset prices are assumed continuous and uncertainty is modelled in a parametric setting. Our proof relies on a new topological framework in which no Krein-Smulian type theorem is available.
Keywords
Cite
@article{arxiv.2102.02298,
title = {Super-replication with transaction costs under model uncertainty for continuous processes},
author = {Huy N. Chau and Masaaki Fukasawa and Miklos Rasonyi},
journal= {arXiv preprint arXiv:2102.02298},
year = {2021}
}