NDLI: Convex Duality with Transaction Costs

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Convex Duality with Transaction Costs

Content Provider	Scilit
Author	Dolinsky, Yan Soner, Halil Mete
Copyright Year	2016
Description	Journal: SSRN Electronic Journal Convex duality for two two different super-replication problems in a continuous time financial market with proportional transaction cost is proved. In this market, static hedging in a finite number of options, in addition to usual dynamic hedging with the underlying stock, are allowed. The first one of the problems considered is the model-independent hedging that requires the super-replication to hold for every continuous path. In the second one the market model is given through a probability measure P and the inequalities are understood P almost surely. The main result, using the convex duality, proves that the two super-replication problems have the same value provided that P satisfies the conditional full support property. Hence, the transaction costs prevents one from using the structure of a specific model to reduce the super-replication cost.
Related Links	http://arxiv.org/pdf/1502.01735 https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2881309
ISSN	10914358
e-ISSN	15565068
DOI	10.2139/ssrn.2881309
Journal	SSRN Electronic Journal
Language	English
Publisher	Elsevier BV
Publisher Date	2016-04-21
Access Restriction	Open
Subject Keyword	Journal: SSRN Electronic Journal Obstetrics and Gynecology Transaction Costs Super Replication Problems Convex Duality
Content Type	Text
Resource Type	Article
Subject	Public Health, Environmental and Occupational Health Psychiatry and Mental Health

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