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- W2991100941 abstract "Abstract We prove the superhedging duality for a discrete-time financial market with proportional transaction costs under model uncertainty. Frictions are modelled through solvency cones as in the original model of Kabanov (Finance Stoch. 3:237–248, 1999) adapted to the quasi-sure setup of Bouchard and Nutz (Ann. Appl. Probab. 25:823–859, 2015). Our approach allows removing the restrictive assumption of no arbitrage of the second kind considered in Bouchard et al. (Math. Finance 29:837–860, 2019) and showing the duality under the more natural condition of strict no arbitrage. In addition, we extend the results to models with portfolio constraints." @default.
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- W2991100941 date "2019-11-21" @default.
- W2991100941 modified "2023-09-27" @default.
- W2991100941 title "On the quasi-sure superhedging duality with frictions" @default.
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- W2991100941 doi "https://doi.org/10.1007/s00780-019-00411-5" @default.
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