A dynamic version of the super-replication theorem under proportional transaction costs. Issue 1 (2nd January 2023)
- Record Type:
- Journal Article
- Title:
- A dynamic version of the super-replication theorem under proportional transaction costs. Issue 1 (2nd January 2023)
- Main Title:
- A dynamic version of the super-replication theorem under proportional transaction costs
- Authors:
- Biagini, Francesca
Reitsam, Thomas - Abstract:
- 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.
- Is Part Of:
- Stochastic analysis and applications. Volume 41:Issue 1(2023)
- Journal:
- Stochastic analysis and applications
- Issue:
- Volume 41:Issue 1(2023)
- Issue Display:
- Volume 41, Issue 1 (2023)
- Year:
- 2023
- Volume:
- 41
- Issue:
- 1
- Issue Sort Value:
- 2023-0041-0001-0000
- Page Start:
- 80
- Page End:
- 101
- Publication Date:
- 2023-01-02
- Subjects:
- Super-replication -- proportional transaction costs -- consistent price systems
91G15 -- 91G20 -- 60G07
C65 -- G13
Stochastic analysis -- Periodicals
519.2205 - Journal URLs:
- http://www.tandfonline.com/toc/lsaa20/current ↗
http://www.tandfonline.com/ ↗ - DOI:
- 10.1080/07362994.2021.1990083 ↗
- Languages:
- English
- ISSNs:
- 0736-2994
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 8465.250000
British Library DSC - BLDSS-3PM
British Library STI - ELD Digital store - Ingest File:
- 24990.xml