The super-replication theorem under proportional transaction costs revisited
We consider a financial market with one riskless and one risky asset. The super-replication theorem states that there is no duality gap in the problem of super-replicating a contingent claim under transaction costs and the associated dual problem. We give two versions of this theorem. The first theorem relates a num\'eraire-based admissibility condition in the primal problem to the notion of a local martingale in the dual problem. The second theorem relates a num\'eraire -free admissibility condition in the primal problem to the notion of a uniformly integrable martingale in the dual problem.
Year of publication: |
2014-05
|
---|---|
Authors: | Schachermayer, Walter |
Institutions: | arXiv.org |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Asymptotics and Duality for the Davis and Norman Problem
Gerhold, Stefan, (2010)
-
Transaction Costs, Trading Volume, and the Liquidity Premium
Gerhold, Stefan, (2011)
-
Admissible Trading Strategies under Transaction Costs
Schachermayer, Walter, (2013)
- More ...