Super-replication with transaction costs under model uncertainty for continuous processes

Huy N. Chau, Masaaki Fukasawa and Miklos Rasonyi

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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.

Date: 2021-02
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Citations: View citations in EconPapers (2)

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