英文标题：
《Super-replication with nonlinear transaction costs and volatility
uncertainty》
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作者：
Peter Bank, Yan Dolinsky, and Selim G\\\"okay
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最新提交年份：
2015
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英文摘要：
We study super-replication of contingent claims in an illiquid market with model uncertainty. Illiquidity is captured by nonlinear transaction costs in discrete time and model uncertainty arises as our only assumption on stock price returns is that they are in a range specified by fixed volatility bounds. We provide a dual characterization of super-replication prices as a supremum of penalized expectations for the contingent claim\'s payoff. We also describe the scaling limit of this dual representation when the number of trading periods increases to infinity. Hence, this paper complements the results in [11] and [19] for the case of model uncertainty.
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中文摘要：
研究了具有模型不确定性的非流动市场中未定权益的超复制问题。流动性不足是由离散时间内的非线性交易成本捕获的，由于我们对股票价格回报的唯一假设是，它们在固定波动率边界指定的范围内，因此模型不确定性产生。我们提供了超级复制价格的双重特征，作为未定权益回报的惩罚期望的上确界。我们还描述了当交易周期数增加到无穷大时，这种对偶表示的标度极限。因此，本文对[11]和[19]中关于模型不确定性的结果进行了补充。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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