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• W2134356772 abstract "We consider a financial market with one riskless and one risky asset. The super-replication theorem states that there is no duality gap in the problem of super-replicating a contingent claim under transaction costs and the associated dual problem. We give two versions of this theorem. The first theorem relates a numéraire-based admissibility condition in the primal problem to the notion of a local martingale in the dual problem. The second theorem relates a numéraire-free admissibility condition in the primal problem to the notion of a uniformly integrable martingale in the dual problem." @default.
• W2134356772 created "2016-06-24" @default.
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• W2134356772 date "2014-09-01" @default.
• W2134356772 modified "2023-10-13" @default.
• W2134356772 title "The super-replication theorem under proportional transaction costs revisited" @default.
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• W2134356772 doi "https://doi.org/10.1007/s11579-014-0129-x" @default.
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