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Article Dans Une Revue Mathematical Finance Année : 2019

Super-replication with proportional transaction cost under model uncertainty

Résumé

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.
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Dates et versions

hal-01569832 , version 1 (27-07-2017)

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Bruno Bouchard, Shuoqing Deng, Xiaolu Tan. Super-replication with proportional transaction cost under model uncertainty. Mathematical Finance, 2019, 29 (3), pp.837-860. ⟨hal-01569832⟩
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