Super-replication with transaction costs under model uncertainty for continuous processes

Chau, Ngoc Huy and Fukasawa, Masaaki and Rásonyi, Miklós (2022) Super-replication with transaction costs under model uncertainty for continuous processes. MATHEMATICAL FINANCE: AN INTERNATIONAL JOURNAL OF MATHEMATICS, STATISTICS AND FINANCIAL ECONOMICS, 32 (4). pp. 1066-1085. ISSN 0960-1627

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Abstract

We formulate a superhedging theorem in the presence of transaction costs and model uncertainty. Asset prices are assumed continuous and uncertainty is modeled in a parametric setting. Our proof relies on a new topological framework in which no Krein-Smulian type theorem is available.

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