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A super-replication theorem in Kabanov’s model of transaction costs

Citations

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Cited by:

  1. Christoph Czichowsky & Raphael Huwyler, 2022. "Robust utility maximisation under proportional transaction costs for c\`adl\`ag price processes," Papers 2211.00532, arXiv.org, revised Aug 2024.
  2. Christoph Kuhn & Alexander Molitor, 2020. "Semimartingale price systems in models with transaction costs beyond efficient friction," Papers 2001.03190, arXiv.org, revised Aug 2021.
  3. Vasily Melnikov, 2025. "Limit Theorems for $$\sigma $$ σ -Localized Émery Convergence," Journal of Theoretical Probability, Springer, vol. 38(1), pages 1-25, March.
  4. Huy N. Chau & Miklós Rásonyi, 2019. "Robust utility maximisation in markets with transaction costs," Finance and Stochastics, Springer, vol. 23(3), pages 677-696, July.
  5. Walter Schachermayer, 2013. "Admissible Trading Strategies under Transaction Costs," Papers 1308.1492, arXiv.org, revised May 2014.
  6. repec:dau:papers:123456789/4652 is not listed on IDEAS
  7. Christoph Czichowsky & Walter Schachermayer, 2015. "Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion," Papers 1505.02416, arXiv.org, revised Aug 2016.
  8. Paolo Guasoni & Mikl'os R'asonyi & Walter Schachermayer, 2008. "Consistent price systems and face-lifting pricing under transaction costs," Papers 0803.4416, arXiv.org.
  9. Kühn, Christoph & Stroh, Maximilian, 2013. "Continuous time trading of a small investor in a limit order market," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 2011-2053.
  10. Christoph Czichowsky & Walter Schachermayer, 2014. "Duality Theory for Portfolio Optimisation under Transaction Costs," Papers 1408.5989, arXiv.org.
  11. Irene Klein & Emmanuel Lépinette & Lavinia Perez-Ostafe, 2014. "Asymptotic arbitrage with small transaction costs," Finance and Stochastics, Springer, vol. 18(4), pages 917-939, October.
  12. Walter Schachermayer, 2014. "The super-replication theorem under proportional transaction costs revisited," Papers 1405.1266, arXiv.org.
  13. Czichowsky, Christoph & Schachermayer, Walter & Yang, Junjian, 2017. "Shadow prices for continuous processes," LSE Research Online Documents on Economics 63370, London School of Economics and Political Science, LSE Library.
  14. Peter Bank & Yan Dolinsky, 2018. "Continuous-time Duality for Super-replication with Transient Price Impact," Papers 1808.09807, arXiv.org, revised May 2019.
  15. Francesca Biagini & Thomas Reitsam, 2019. "Asset Price Bubbles in market models with proportional transaction costs," Papers 1911.10149, arXiv.org, revised Dec 2020.
  16. Erindi Allaj, 2017. "Implicit Transaction Costs And The Fundamental Theorems Of Asset Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-39, June.
  17. Czichowsky, Christoph & Schachermayer, Walter, 2017. "Portfolio optimisation beyond semimartingales: shadowprices and fractional Brownian motion," LSE Research Online Documents on Economics 67689, London School of Economics and Political Science, LSE Library.
  18. Bruno Bouchard & Elyès Jouini, 2010. "Transaction Costs in Financial Models," Post-Print halshs-00703138, HAL.
  19. Christoph Czichowsky & Walter Schachermayer & Junjian Yang, 2014. "Shadow prices for continuous processes," Papers 1408.6065, arXiv.org, revised May 2015.
  20. Czichowsky, Christoph & Schachermayer, Walter, 2016. "Duality theory for portfolio optimisation under transaction costs," LSE Research Online Documents on Economics 63362, London School of Economics and Political Science, LSE Library.
  21. Xiang Yu, 2014. "Optimal Consumption under Habit Formation In Markets with Transaction Costs and Random Endowments," Papers 1408.1382, arXiv.org, revised Jul 2016.
  22. Giuseppe Benedetti & Luciano Campi & Jan Kallsen & Johannes Muhle-Karbe, 2013. "On the existence of shadow prices," Finance and Stochastics, Springer, vol. 17(4), pages 801-818, October.
  23. Miklos Rasonyi, 2017. "On utility maximization without passing by the dual problem," Papers 1702.00982, arXiv.org, revised Mar 2018.
  24. Francesca Biagini & Lukas Gonon & Thomas Reitsam, 2021. "Neural network approximation for superhedging prices," Papers 2107.14113, arXiv.org.
  25. Luciano Campi & Elyès Jouini & Vincent Porte, 2013. "Efficient portfolios in financial markets with proportional transaction costs," Post-Print halshs-00664074, HAL.
  26. D. Vallière & E. Denis & Y. Kabanov, 2009. "Hedging of American options under transaction costs," Finance and Stochastics, Springer, vol. 13(1), pages 105-119, January.
  27. Huy N. Chau & Miklos Rasonyi, 2018. "Robust utility maximization in markets with transaction costs," Papers 1803.04213, arXiv.org, revised Dec 2018.
  28. Francesca Biagini & Thomas Reitsam, 2021. "A dynamic version of the super-replication theorem under proportional transaction costs," Papers 2107.02628, arXiv.org.
  29. Lingqi Gu & Yiqing Lin & Junjian Yang, 2017. "Utility maximization problem under transaction costs: optimal dual processes and stability," Papers 1710.04363, arXiv.org.
  30. Paolo Guasoni & Miklós Rásonyi & Walter Schachermayer, 2010. "The fundamental theorem of asset pricing for continuous processes under small transaction costs," Annals of Finance, Springer, vol. 6(2), pages 157-191, March.
  31. Adrien Nguyen Huu, 2011. "A note on super-hedging for investor-producers," Papers 1112.4740, arXiv.org, revised Mar 2012.
  32. Julien Grépat & Yuri Kabanov, 2012. "Small transaction costs, absence of arbitrage and consistent price systems," Finance and Stochastics, Springer, vol. 16(3), pages 357-368, July.
  33. Erhan Bayraktar & Xiang Yu, 2015. "Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices," Papers 1504.00310, arXiv.org, revised Aug 2018.
  34. Yiqing Lin & Junjian Yang, 2016. "Utility maximization problem with random endowment and transaction costs: when wealth may become negative," Papers 1604.08224, arXiv.org, revised Sep 2016.
  35. Lingqi Gu & Yiqing Lin & Junjian Yang, 2016. "A note on utility maximization with transaction costs and random endoment: num\'eraire-based model and convex duality," Papers 1602.01070, arXiv.org, revised Feb 2016.
  36. Christoph Kühn & Alexander Molitor, 2022. "Semimartingale price systems in models with transaction costs beyond efficient friction," Finance and Stochastics, Springer, vol. 26(4), pages 927-982, October.
  37. Peter Bank & Selim Gokay, 2013. "Superreplication when trading at market indifference prices," Papers 1310.3113, arXiv.org.
  38. Peter Bank & Selim Gökay, 2016. "Superreplication when trading at market indifference prices," Finance and Stochastics, Springer, vol. 20(1), pages 153-182, January.
  39. repec:hal:wpaper:halshs-00664074 is not listed on IDEAS
  40. Dylan Possamai & Guillaume Royer, 2014. "General indifference pricing with small transaction costs," Papers 1401.3261, arXiv.org, revised Apr 2015.
  41. Bruno Bouchard & Adrien Nguyen Huu, 2013. "No marginal arbitrage of the second kind for high production regimes in discrete time production-investment models with proportional transaction costs," Post-Print hal-00487030, HAL.
  42. Niv Nayman, 2018. "Shortfall Risk Minimization Under Fixed Transaction Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-29, August.
  43. Paolo Guasoni & Emmanuel Lépinette & Miklós Rásonyi, 2012. "The fundamental theorem of asset pricing under transaction costs," Finance and Stochastics, Springer, vol. 16(4), pages 741-777, October.
  44. repec:dau:papers:123456789/2318 is not listed on IDEAS
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