MODEL-FREE WEAK NO-ARBITRAGE AND SUPERHEDGING UNDER TRANSACTION COSTS BEYOND EFFICIENT FRICTION
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Published:2024-01-23
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Volume:
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ISSN:0219-0249
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Container-title:International Journal of Theoretical and Applied Finance
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language:en
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Short-container-title:Int. J. Theor. Appl. Finan.
Author:
RYOM SONGCHOL1,
RI INCHOL1
Affiliation:
1. Institute of Mathematics, State Academy of Sciences, Pyongyang, Democratic People’s Republic of Korea
Abstract
The paper is continuation of Kim and Ryom (2022), in which a pathwise superhedging duality was proved for multidimensional contingent claims under model-free strict no-arbitrage and efficient frictions. We consider a two-dimensional market with transaction costs beyond efficient friction in a model-free framework. We get a condition to hold model-free weak no-arbitrage and prove a superhedging duality under model-free weak no-arbitrage.
Publisher
World Scientific Pub Co Pte Ltd
Subject
General Economics, Econometrics and Finance,Finance