Robust hedging with proportional transaction costs

@article{Dolinsky2014RobustHW,
  title={Robust hedging with proportional transaction costs},
  author={Yan Dolinsky and Halil Mete Soner},
  journal={Finance and Stochastics},
  year={2014},
  volume={18},
  pages={327-347}
}
  • Y. Dolinsky, H. Soner
  • Published 3 February 2013
  • Economics, Computer Science, Mathematics
  • Finance and Stochastics
A duality for robust hedging with proportional transaction costs of path-dependent European options is obtained in a discrete-time financial market with one risky asset. The investor’s portfolio consists of a dynamically traded stock and a static position in vanilla options, which can be exercised at maturity. Trading of both options and stock is subject to proportional transaction costs. The main theorem is a duality between hedging and a Monge–Kantorovich-type optimization problem. In this… Expand
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