摘要翻译：
在具有凸交易费用的离散时间市场模型中，研究了实物交割条件下未定权益的超套期保值问题。我们的模型通过考虑非线性非流动性效应扩展了Kabanov的货币市场模型。我们证明了Schachermayer鲁棒无套利条件的适当推广意味着可零成本对冲的索赔集合在概率上是闭的。结合经典的凸分析技术，封闭性得到了保费过程的双重特征，足以对给定的索赔过程进行超套期保值。我们还推广了一般圆锥模型的资产定价基本定理。
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英文标题：
《Hedging of claims with physical delivery under convex transaction costs》
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作者：
Teemu Pennanen and Irina Penner
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Functional Analysis        功能分析
分类描述：Banach spaces, function spaces, real functions, integral transforms, theory of distributions, measure theory
Banach空间，函数空间，实函数，积分变换，分布理论，测度理论
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  We study superhedging of contingent claims with physical delivery in a discrete-time market model with convex transaction costs. Our model extends Kabanov's currency market model by allowing for nonlinear illiquidity effects. We show that an appropriate generalization of Schachermayer's robust no arbitrage condition implies that the set of claims hedgeable with zero cost is closed in probability. Combined with classical techniques of convex analysis, the closedness yields a dual characterization of premium processes that are sufficient to superhedge a given claim process. We also extend the fundamental theorem of asset pricing for general conical models.
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PDF链接：
https://arxiv.org/pdf/0810.2016