3 papers
q-fin.MF2021
Neural network approximation for superhedging prices
Francesca Biagini, Lukas Gonon, Thomas Reitsam
This article examines neural network-based approximations for the superhedging price process of a contingent claim in a discrete time market model. First we prove that the -quan…
q-fin.MF2021
A dynamic version of the super-replication theorem under proportional transaction costs
Francesca Biagini, Thomas Reitsam
We extend the super-replication theorems of [27] in a dynamic setting, both in the numéraire-based as well as in the numéraire-free setting. For this purpose, we generalize the not…
q-fin.MF2019
Asset Price Bubbles in market models with proportional transaction costs
Francesca Biagini, Thomas Reitsam
We study asset price bubbles in market models with proportional transaction costs and finite time horizon in the setting of [49]. By following [28], we define the…