Pathwise superhedging under proportional transaction costs

Kim, Mun-Chol; Ryom, Song-Chol

doi:10.1007/s11579-022-00322-8

Math Finan Econ

2022

DOI: 10.1007/s11579-022-00322-8

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Pathwise superhedging under proportional transaction costs

Mun-Chol Kim¹,

Song-Chol Ryom

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2023

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Cited by 1 publication

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Model-Free Weak No-Arbitrage and Superhedging Under Transaction Costs Beyond Efficient Friction

RYOM,

2023

Int. J. Theor. Appl. Finan.

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The paper is continuation of Kim and Ryom (2022), in which a pathwise superhedging duality was proved for multidimensional contingent claims under model-free strict no-arbitrage and efficient frictions. We consider a two-dimensional market with transaction costs beyond efficient friction in a model-free framework. We get a condition to hold model-free weak no-arbitrage and prove a superhedging duality under model-free weak no-arbitrage.

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Model-Free Weak No-Arbitrage and Superhedging Under Transaction Costs Beyond Efficient Friction

RYOM,

2023

Int. J. Theor. Appl. Finan.

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Pathwise superhedging under proportional transaction costs

Cited by 1 publication

References 22 publications

Model-Free Weak No-Arbitrage and Superhedging Under Transaction Costs Beyond Efficient Friction

Model-Free Weak No-Arbitrage and Superhedging Under Transaction Costs Beyond Efficient Friction

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