Super‐replication with transaction costs under model uncertainty for continuous processes
نویسندگان
چکیده
Abstract We formulate a superhedging theorem in the presence of transaction costs and model uncertainty. Asset prices are assumed continuous uncertainty is modeled parametric setting. Our proof relies on new topological framework which no Krein–Smulian type available.
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2022
ISSN: ['0960-1627', '1467-9965']
DOI: https://doi.org/10.1111/mafi.12355