# Robust hedging with proportional transaction costs

@article{Dolinsky2014RobustHW, title={Robust hedging with proportional transaction costs}, author={Yan Dolinsky and Halil Mete Soner}, journal={Finance and Stochastics}, year={2014}, volume={18}, pages={327-347} }

A duality for robust hedging with proportional transaction costs of path-dependent European options is obtained in a discrete-time financial market with one risky asset. The investor’s portfolio consists of a dynamically traded stock and a static position in vanilla options, which can be exercised at maturity. Trading of both options and stock is subject to proportional transaction costs. The main theorem is a duality between hedging and a Monge–Kantorovich-type optimization problem. In this… Expand

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