On the quasi-sure superhedging duality with frictions
Keyword(s):
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.
2006 ◽
Vol 10
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pp. 276-297
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2020 ◽
Vol 45
(4)
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pp. 1210-1236
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2011 ◽
Vol 23
(2)
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pp. 366-386
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Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics I: A Numerical Solution
2016 ◽
Vol 06
(04)
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pp. 1650018
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2008 ◽
Vol 52
(1)
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pp. 93-107
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