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

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  • Francesca Biagini
  • Thomas Reitsam

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.

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  • Francesca Biagini & Thomas Reitsam, 2021. "A dynamic version of the super-replication theorem under proportional transaction costs," Papers 2107.02628, arXiv.org.
    • Handle: RePEc:arx:papers:2107.02628
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    References listed on IDEAS

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    7. Yuri Kabanov, 2009. "Markets with Transaction Costs. Mathematical Theory," Post-Print hal-00488168, HAL.
    8. Marcel Nutz & H. Mete Soner, 2010. "Superhedging and Dynamic Risk Measures under Volatility Uncertainty," Papers 1011.2958, arXiv.org, revised Jun 2012.
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