Robust No Arbitrage of the Second Kind with a Continuum of Assets and Proportional Transaction Costs

2016 ◽  
Vol 7 (1) ◽  
pp. 104-123
Author(s):  
Emmanuel Lepinette
Keyword(s):  
Transaction Costs ◽  
Proportional Transaction Costs ◽  
No Arbitrage

scholarly journals On the quasi-sure superhedging duality with frictions

2019 ◽  
Vol 24 (1) ◽  
pp. 249-275
Author(s):  
Erhan Bayraktar ◽  
Matteo Burzoni
Keyword(s):  
Transaction Costs ◽  
Financial Market ◽  
Discrete Time ◽  
Natural Condition ◽  
Model Uncertainty ◽  
Original Model ◽  
Restrictive Assumption ◽  
Proportional Transaction Costs ◽  
No Arbitrage ◽  
Portfolio Constraints

AbstractWe prove the superhedging duality for a discrete-time financial market with proportional transaction costs under model uncertainty. Frictions are modelled through solvency cones as in the original model of Kabanov (Finance Stoch. 3:237–248, 1999) adapted to the quasi-sure setup of Bouchard and Nutz (Ann. Appl. Probab. 25:823–859, 2015). Our approach allows removing the restrictive assumption of no arbitrage of the second kind considered in Bouchard et al. (Math. Finance 29:837–860, 2019) and showing the duality under the more natural condition of strict no arbitrage. In addition, we extend the results to models with portfolio constraints.

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