A dynamic version of the super-replication theorem under proportional transaction costs

IF 0.8 4区数学 Q3 MATHEMATICS, APPLIED

Stochastic Analysis and Applications Pub Date : 2021-07-06 DOI:10.1080/07362994.2021.1990083

F. Biagini, Thomas Reitsam

引用次数: 0

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.

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比例交易成本下超复制定理的一个动态版本

摘要我们在动态环境中扩展了超复制定理，无论是在基于数量的环境中还是在无数量的环境下。为此，我们推广了可接受策略的概念。特别地，我们得到了一个定义良好的超级复制价格过程，它在一些正则性假设下是右连续的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Stochastic Analysis and Applications 数学-统计学与概率论

CiteScore

2.70

自引率

7.70%

发文量

审稿时长

6-12 weeks

期刊介绍： Stochastic Analysis and Applications presents the latest innovations in the field of stochastic theory and its practical applications, as well as the full range of related approaches to analyzing systems under random excitation. In addition, it is the only publication that offers the broad, detailed coverage necessary for the interfield and intrafield fertilization of new concepts and ideas, providing the scientific community with a unique and highly useful service.