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

Huy N. Chau, Masaaki Fukasawa and Miklós Rásonyi

Mathematical Finance, 2022, vol. 32, issue 4, 1066-1085

Abstract: We formulate a superhedging theorem in the presence of transaction costs and model uncertainty. Asset prices are assumed continuous and uncertainty is modeled in a parametric setting. Our proof relies on a new topological framework in which no Krein–Smulian type theorem is available.

Date: 2022
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