scholarly journals No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure

2006 ◽  
Vol 10 (2) ◽  
pp. 276-297 ◽  
Author(s):  
Bruno Bouchard
Keyword(s):  
Transaction Costs ◽  
Discrete Time ◽  
Information Structure ◽  
General Information ◽  
Proportional Transaction Costs ◽  
No Arbitrage

scholarly journals On the quasi-sure superhedging duality with frictions

2019 ◽  
Vol 24 (1) ◽  
pp. 249-275
Author(s):  
Erhan Bayraktar ◽  
Matteo Burzoni
Keyword(s):  
Transaction Costs ◽  
Financial Market ◽  
Discrete Time ◽  
Natural Condition ◽  
Model Uncertainty ◽  
Original Model ◽  
Restrictive Assumption ◽  
Proportional Transaction Costs ◽  
No Arbitrage ◽  
Portfolio Constraints

AbstractWe prove the superhedging duality for a discrete-time financial market with proportional transaction costs under model uncertainty. Frictions are modelled through solvency cones as in the original model of Kabanov (Finance Stoch. 3:237–248, 1999) adapted to the quasi-sure setup of Bouchard and Nutz (Ann. Appl. Probab. 25:823–859, 2015). Our approach allows removing the restrictive assumption of no arbitrage of the second kind considered in Bouchard et al. (Math. Finance 29:837–860, 2019) and showing the duality under the more natural condition of strict no arbitrage. In addition, we extend the results to models with portfolio constraints.

scholarly journals NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS

2013 ◽  
Vol 25 (4) ◽  
pp. 673-701 ◽  
Author(s):  
Tomasz R. Bielecki ◽  
Igor Cialenco ◽  
Rodrigo Rodriguez
Keyword(s):  
Transaction Costs ◽  
Discrete Time ◽  
Arbitrage Pricing ◽  
No Arbitrage

Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics I: A Numerical Solution

2016 ◽  
Vol 06 (04) ◽  
pp. 1650018 ◽  
Author(s):  
Michal Czerwonko ◽  
Stylianos Perrakis
Keyword(s):  
Diffusion Process ◽  
Transaction Costs ◽  
Portfolio Selection ◽  
Discrete Time ◽  
Continuous Time ◽  
Jump Diffusion ◽  
Numerical Approach ◽  
Proportional Transaction Costs ◽  
Asset Portfolio ◽  
Time Formulation

We derive allocation rules under isoelastic utility for a mixed jump-diffusion process in a two-asset portfolio selection problem with finite horizon in the presence of proportional transaction costs. We adopt a discrete-time formulation, let the number of periods go to infinity, and show that it converges efficiently to the continuous-time solution for the cases where this solution is known. We then apply this discretization to derive numerically the boundaries of the region of no transactions. Our discrete-time numerical approach outperforms alternative continuous-time approximations of the problem.

scholarly journals Growth optimal investment in discrete-time markets with proportional transaction costs

2016 ◽  
Vol 48 ◽  
pp. 226-238
Author(s):  
N. Denizcan Vanli ◽  
Sait Tunc ◽  
Mehmet A. Donmez ◽  
Suleyman S. Kozat
Keyword(s):  
Transaction Costs ◽  
Discrete Time ◽  
Optimal Investment ◽  
Proportional Transaction Costs

Hedging in discrete time under transaction costs and continuous-time limit

1999 ◽  
Vol 36 (1) ◽  
pp. 163-178 ◽  
Author(s):  
Pierre-F. Koehl ◽  
Huyên Pham ◽  
Nizar Touzi
Keyword(s):  
Transaction Costs ◽  
Discrete Time ◽  
Continuous Time ◽  
Sufficient Conditions ◽  
Risky Asset ◽  
Market Model ◽  
Upper And Lower Bounds ◽  
Time Step ◽  
Proportional Transaction Costs ◽  
Call Options

We consider a discrete-time financial market model with L1 risky asset price process subject to proportional transaction costs. In this general setting, using a dual martingale representation we provide sufficient conditions for the super-replication cost to coincide with the replication cost. Next, we study the convergence problem in a stationary binomial model as the time step tends to zero, keeping the proportional transaction costs fixed. We derive lower and upper bounds for the limit of the super-replication cost. In the case of European call options and for a unit initial holding in the risky asset, the upper and lower bounds are equal. This result also holds for the replication cost of European call options. This is evidence (but not a proof) against the common opinion that the replication cost is infinite in a continuous-time model.

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