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Convex duality with transaction costs

Author(s): Dolinsky, Y; Soner, H Mete

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dc.contributor.authorDolinsky, Y-
dc.contributor.authorSoner, H Mete-
dc.date.accessioned2021-10-11T14:18:02Z-
dc.date.available2021-10-11T14:18:02Z-
dc.date.issued2017-05-01en_US
dc.identifier.citationDolinsky, Y, Mete Soner, H. (2017). Convex duality with transaction costs. Mathematics of Operations Research, 42 (2), 448 - 471. doi:10.1287/moor.2016.0811en_US
dc.identifier.issn0364-765X-
dc.identifier.urihttp://arks.princeton.edu/ark:/88435/pr1mk3m-
dc.description.abstract© 2016 INFORMS. Convex duality for 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 of 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 the probability measure almost surely. The main result, using the convex duality, proves that the two super-replication problems have the same value provided that the probability measure 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.en_US
dc.format.extent448 - 471en_US
dc.language.isoen_USen_US
dc.relation.ispartofMathematics of Operations Researchen_US
dc.rightsAuthor's manuscripten_US
dc.titleConvex duality with transaction costsen_US
dc.typeJournal Articleen_US
dc.identifier.doidoi:10.1287/moor.2016.0811-
dc.identifier.eissn1526-5471-
pu.type.symplectichttp://www.symplectic.co.uk/publications/atom-terms/1.0/journal-articleen_US

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