英文标题：
《On the quasi-sure superhedging duality with frictions》
---
作者：
Erhan Bayraktar, Matteo Burzoni
---
最新提交年份：
2019
---
英文摘要：
We prove the superhedging duality for a discrete-time financial market with proportional transaction costs under model uncertainty. Frictions are modeled through solvency cones as in the original model of [Kabanov, Y., Hedging and liquidation under transaction costs in currency markets. Fin. Stoch., 3(2):237-248, 1999] adapted to the quasi-sure setup of [Bouchard, B. and Nutz, M., Arbitrage and duality in nondominated discrete-time models. Ann. Appl. Probab., 25(2):823-859, 2015]. Our approach allows to remove the restrictive assumption of No Arbitrage of the Second Kind considered in [Bouchard, B., Deng, S. and Tan, X., Super-replication with proportional transaction cost under model uncertainty, Math. Fin., 29(3):837-860, 2019] and to show the duality under the more natural condition of No Strict Arbitrage. In addition, we extend the results to models with portfolio constraints.
---
中文摘要：
我们证明了模型不确定性下具有比例交易成本的离散时间金融市场的超边缘对偶性。摩擦是通过偿付能力锥进行建模的，正如[卡巴诺夫，Y.，货币市场交易成本下的对冲和清算。Fin.Stoch.，3（2）：237-2481999]的原始模型一样，该模型适用于[Bouchard，B.和Nutz，M.，非支配离散时间模型中的套利和二元性。Ann.Appl.Probab.，25（2）：823-8592015]的准确定性设置。我们的方法可以消除[Bouchard，B.，Deng，S.和Tan，X.，模型不确定性下按比例交易成本的超级复制，Math.Fin.，29（3）：837-8602019]中考虑的第二类无套利的限制性假设，并显示无严格套利更自然条件下的对偶性。此外，我们将结果推广到具有投资组合约束的模型。
---
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
--

---
PDF下载：
-->