Super‐replication with transaction costs under model uncertainty for continuous processes
研究了在交易成本和模型不确定性并存时，如何实现资产价格的超复制，并提出了一个超对冲定理，适用于连续资产价格和参数化不确定性设定。
Abstract We formulate a superhedging theorem in the presence of transaction costs and model uncertainty. Asset prices are assumed continuous and uncertainty is modeled in a parametric setting. Our proof relies on a new topological framework in which no Krein–Smulian type theorem is available.