摘要翻译：
研究了离散时间市场模型中的未定权益，其中交易费用由凸函数给出，投资组合由凸集约束。除了经典的无摩擦市场和有交易费用或买卖价差的市场外，我们的框架还涵盖了具有大量瞬时交易的非线性非流动性效应的市场。在没有现金帐户的市场中，我们得到了未定权益过程的超套期保值条件的对偶刻画。在有现金帐户的市场中，用与鞅密度相对应的随机贴现因子给出了刻画。在一个拓扑条件和一个弱一致性条件下，对偶表示是有效的，这两个条件都是经典完全流动市场模型中的无套利条件所暗示的。我们给出了适用于具有非线性成本函数和投资组合约束的市场模型的可选充分条件。
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英文标题：
《Superhedging in illiquid markets》
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作者：
Teemu Pennanen
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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：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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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 contingent claims in a discrete-time market model where trading costs are given by convex functions and portfolios are constrained by convex sets. In addition to classical frictionless markets and markets with transaction costs or bid-ask spreads, our framework covers markets with nonlinear illiquidity effects for large instantaneous trades. We derive dual characterizations of superhedging conditions for contingent claim processes in a market without a cash account. The characterizations are given in terms of stochastic discount factors that correspond to martingale densities in a market with a cash account. The dual representations are valid under a topological condition and a weak consistency condition reminiscent of the ``law of one price'', both of which are implied by the no arbitrage condition in the case of classical perfectly liquid market models. We give alternative sufficient conditions that apply to market models with nonlinear cost functions and portfolio constraints.
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PDF链接：
https://arxiv.org/pdf/0807.2962