A dynamic version of the super-replication theorem under proportional transaction costs

Francesca Biagini and Thomas Reitsam

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Abstract: We extend the super-replication theorems of [27] in a dynamic setting, both in the num\'eraire-based as well as in the num\'eraire-free setting. For this purpose, we generalize the notion of admissible strategies. In particular, we obtain a well-defined super-replication price process, which is right-continuous under some regularity assumptions.

Date: 2021-07
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