英文标题：
《Continuous-time Duality for Super-replication with Transient Price
Impact》
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作者：
Peter Bank and Yan Dolinsky
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最新提交年份：
2019
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英文摘要：
We establish a super-replication duality in a continuous-time financial model where an investor\'s trades adversely affect bid- and ask-prices for a risky asset and where market resilience drives the resulting spread back towards zero at an exponential rate. Similar to the literature on models with a constant spread, our dual description of super-replication prices involves the construction of suitable absolutely continuous measures with martingales close to the unaffected reference price. A novel feature in our duality is a liquidity weighted $L^2$-norm that enters as a measurement of this closeness and that accounts for strategy dependent spreads. As applications, we establish optimality of buy-and-hold strategies for the super-replication of call options and we prove a verification theorem for utility maximizing investment strategies.
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中文摘要：
我们在连续时间金融模型中建立了一个超级复制二元性，其中投资者的交易对风险资产的出价和要价产生不利影响，并且市场弹性以指数速度将由此产生的利差拉回到零。与关于具有恒定价差的模型的文献类似，我们对超级复制价格的双重描述涉及构造合适的绝对连续测度，鞅接近于未受影响的参考价格。我们的二元性的一个新特征是流动性加权的1.2美元标准，它作为这种接近度的衡量标准，并解释了与策略相关的利差。作为应用，我们为看涨期权的超级复制建立了买入持有策略的最优性，并证明了效用最大化投资策略的一个验证定理。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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