ORCID: https://orcid.org/0000-0001-9801-5259 and Reitsam, Thomas
(2023):
A dynamic version of the super-replication theorem under proportional transaction costs.
In: Stochastic Analysis and Applications, Vol. 41, No. 1: pp. 80-101
Abstract
We extend the super-replication theorem in a dynamic setting, both in the numéraire-based as well as in the numéraire-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.
Item Type: | Journal article |
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Faculties: | Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics |
Subjects: | 500 Science > 510 Mathematics |
ISSN: | 0736-2994 |
Language: | English |
Item ID: | 110089 |
Date Deposited: | 25. Mar 2024, 13:24 |
Last Modified: | 22. Aug 2024, 11:08 |