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q-fin.MF2018
On the quasi-sure superhedging duality with frictions
Erhan Bayraktar, Matteo Burzoni
We prove the superhedging duality for a discrete-time financial market with proportional transaction costs under model uncertainty. Frictions are modeled through solvency cones as…
q-fin.MF2018
Robust martingale selection problem and its connections to the no-arbitrage theory
Matteo Burzoni, Mario Sikic
We analyze the martingale selection problem of Rokhlin (2006) in a pointwise (robust) setting. We derive conditions for solvability of this problem and show how it is related to th…