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Super-replication with proportional transaction cost under model uncertainty
| Content Provider | Semantic Scholar |
|---|---|
| Author | Bouchard, Bruno Deng, Shuoqing Tan, Xiaolu |
| Copyright Year | 2017 |
| 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. |
| Starting Page | 837 |
| Ending Page | 860 |
| Page Count | 24 |
| File Format | PDF HTM / HTML |
| DOI | 10.1111/mafi.12197 |
| Alternate Webpage(s) | https://arxiv.org/pdf/1707.09158v1.pdf |
| Alternate Webpage(s) | http://export.arxiv.org/pdf/1707.09158 |
| Alternate Webpage(s) | https://www.ceremade.dauphine.fr/~bouchard/pdf/BDT17.pdf |
| Alternate Webpage(s) | https://doi.org/10.1111/mafi.12197 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
