A dynamic version of the super-replication theorem under proportional transaction costs
نویسندگان
چکیده
We extend the super-replication theorem in a dynamic setting, both numéraire-based as well numéraire-free setting. For this purpose, we generalize notion of admissible strategies. In particular, obtain well-defined price process, which is right-continuous under some regularity assumptions.
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ژورنال
عنوان ژورنال: Stochastic Analysis and Applications
سال: 2021
ISSN: ['1532-9356', '0736-2994']
DOI: https://doi.org/10.1080/07362994.2021.1990083