Superreplication with proportional transaction cost under model uncertainty
Bouchard, Bruno; Deng, Shuoqing; Tan, Xiaolu (2018), Superreplication with proportional transaction cost under model uncertainty, Mathematical Finance. 10.1111/mafi.12197
TypeArticle accepté pour publication ou publié
External document linkhttps://hal.archives-ouvertes.fr/hal-01569832
Journal nameMathematical Finance
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Abstract (EN)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.
Subjects / Keywordsmodel uncertainty; duality; transaction cost; Super-replication
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