英文标题：
《Convex duality with transaction costs》
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作者：
Yan Dolinsky and H. Mete Soner
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最新提交年份：
2015
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英文摘要：
Convex duality for two two different super--replication problems in a continuous time financial market with proportional transaction cost is proved. In this market, static hedging in a finite number of options, in addition to usual dynamic hedging with the underlying stock, are allowed. The first one the problems considered is the model--independent hedging that requires the super--replication to hold for every continuous path. In the second one the market model is given through a probability measure P and the inequalities are understood P almost surely. The main result, using the convex duality, proves that the two super--replication problems have the same value provided that P satisfies the conditional full support property. Hence, the transaction costs prevents one from using the structure of a specific model to reduce the super--replication cost.
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中文摘要：
证明了具有比例交易费用的连续时间金融市场中两个不同的超复制问题的凸对偶性。在这个市场上，除了对标的股票进行通常的动态套期保值外，还允许对有限数量的期权进行静态套期保值。考虑的第一个问题是模型——独立的对冲，它要求超级复制在每一条连续路径上都保持不变。在第二个例子中，市场模型是通过概率测度P给出的，不等式几乎可以肯定地理解为P。利用凸对偶的主要结果证明了，只要P满足条件完全支持性质，两个超复制问题具有相同的值。因此，事务成本阻止人们使用特定模型的结构来降低超级复制成本。
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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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