MODEL-FREE WEAK NO-ARBITRAGE AND SUPERHEDGING UNDER TRANSACTION COSTS BEYOND EFFICIENT FRICTION

Songchol Ryom and Inchol Ri ()
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Songchol Ryom: Institute of Mathematics, State Academy of Sciences, Pyongyang, Democratic People’s Republic of Korea
Inchol Ri: Institute of Mathematics, State Academy of Sciences, Pyongyang, Democratic People’s Republic of Korea

International Journal of Theoretical and Applied Finance (IJTAF), 2023, vol. 26, issue 06n07, 1-42

Abstract: The paper is continuation of Kim and Ryom (2022), in which a pathwise superhedging duality was proved for multidimensional contingent claims under model-free strict no-arbitrage and efficient frictions. We consider a two-dimensional market with transaction costs beyond efficient friction in a model-free framework. We get a condition to hold model-free weak no-arbitrage and prove a superhedging duality under model-free weak no-arbitrage.

Keywords: Model uncertainty; model-free weak no-arbitrage; transaction costs; superhedging (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1142/S0219024923500164

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