SUPER-REPLICATION WITH FIXED TRANSACTION COSTS

• 成果类型: Article
• 署名作者: Bank, Peter; Dolinsky, Yan
• 署名单位: Technical University of Berlin; Hebrew University of Jerusalem; Monash University
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/17-AAP1372
• 发表日期: 2019
• 页码: 739-757
• 关键词: limit-theorem; arbitrage; MARKETS; options; volume; prices

摘要

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.