2 papers
q-fin.MF2014
Super-replication with nonlinear transaction costs and volatility uncertainty
Peter Bank, Yan Dolinsky, Selim Gökay
We study super-replication of contingent claims in an illiquid market with model uncertainty. Illiquidity is captured by nonlinear transaction costs in discrete time and model unce…
q-fin.PR2013
Superreplication when trading at market indifference prices
Peter Bank, Selim Gökay
We study superreplication of European contingent claims in discrete time in a large trader model with market indifference prices recently proposed by Bank and Kramkov. We introduce…