Super-replication with nonlinear transaction costs and volatility uncertainty
Super-replication with nonlinear transaction costs and volatility uncertainty
复制标题
具有非线性交易成本和波动不确定性的超级复制
DOI：
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发表时间：
2014
期刊：
影响因子：
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通讯作者：
Selim Gokay
中科院分区：
文献类型：
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作者：
P. Bank;Y. Dolinsky;Selim Gokay
研究了具有模型不确定性的非流动性市场中或有债权的超复制问题。非流动性是由离散时间的非线性交易成本捕获的，模型不确定性是由于我们对股票价格回报的唯一假设是它们在固定波动率界限指定的范围内。我们提供了超级复制价格的双重特征，作为或有索赔支付的惩罚性预期的最高。我们还描述了当交易周期数量增加到无穷大时这种对偶表示的扩展极限。因此，本文对模型不确定性情况下[11]和[19]的结果进行了补充。
We study super-replication of contingent claims in an illiquid market with model uncertainty. Illiquidity is captured by nonlinear transaction costs in discrete time and model uncertainty arises as our only assumption on stock price returns is that they are in a range specified by fixed volatility bounds. We provide a dual characterization of super-replication prices as a supremum of penalized expectations for the contingent claim's payoff. We also describe the scaling limit of this dual representation when the number of trading periods increases to infinity. Hence, this paper complements the results in [11] and [19] for the case of model uncertainty.