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Super‐replication with transaction costs under model uncertainty for continuous processes

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  • Huy N. Chau
  • Masaaki Fukasawa
  • Miklós Rásonyi

Abstract

We formulate a superhedging theorem in the presence of transaction costs and model uncertainty. Asset prices are assumed continuous and uncertainty is modeled in a parametric setting. Our proof relies on a new topological framework in which no Krein–Smulian type theorem is available.

Suggested Citation

  • Huy N. Chau & Masaaki Fukasawa & Miklós Rásonyi, 2022. "Super‐replication with transaction costs under model uncertainty for continuous processes," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 1066-1085, October.
    • Handle: RePEc:bla:mathfi:v:32:y:2022:i:4:p:1066-1085
    DOI: 10.1111/mafi.12355
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    References listed on IDEAS

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    Cited by:

    1. Siu, Tak Kuen, 2023. "European option pricing with market frictions, regime switches and model uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 233-250.

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