On the quasi-sure superhedging duality with frictions
We prove the superhedging duality for a discrete-time financial market with proportional transaction costs under model uncertainty. Frictions are modeled through solvency cones as in the original model of [Kabanov, Y., Hedging and liquidation under transaction costs in currency markets. Fin. Stoch.,...
| Autors principals: | , |
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| Format: | Journal article |
| Idioma: | English |
| Publicat: |
Springer
2019
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