Translator Disclaimer
April 2019 Super-replication with fixed transaction costs
Peter Bank, Yan Dolinsky
Ann. Appl. Probab. 29(2): 739-757 (April 2019). DOI: 10.1214/17-AAP1372

Abstract

We study super-replication of contingent claims in markets with fixed transaction costs. This can be viewed as a stochastic impulse control problem with a terminal state constraint. The first result in this paper reveals that in reasonable continuous time financial market models the super-replication price is prohibitively costly and leads to trivial buy-and-hold strategies. Our second result derives nontrivial scaling limits of super-replication prices for binomial models with small fixed costs.

Citation

Download Citation

Peter Bank. Yan Dolinsky. "Super-replication with fixed transaction costs." Ann. Appl. Probab. 29 (2) 739 - 757, April 2019. https://doi.org/10.1214/17-AAP1372

Information

Received: 1 March 2017; Revised: 1 September 2017; Published: April 2019
First available in Project Euclid: 24 January 2019

zbMATH: 07047437
MathSciNet: MR3910016
Digital Object Identifier: 10.1214/17-AAP1372

Subjects:
Primary: 91G10, 91G20

Rights: Copyright © 2019 Institute of Mathematical Statistics

JOURNAL ARTICLE
19 PAGES

This article is only available to subscribers.
It is not available for individual sale.
+ SAVE TO MY LIBRARY

SHARE
Vol.29 • No. 2 • April 2019
Back to Top