Possamaï, Dylan; Soner, H. Mete; Touzi, Nizar - 2022
We consider a financial market with liquidity cost as in Çetin, Jarrow and Protter, where the supply function depends on a parameter ε, with ε=0 corresponding to the perfect liquid situation. Using the PDE characterization of Çetin, Soner and Touzi of the super-hedging cost of an option...