Super-replication with transaction costs under model uncertainty for continuous processes

TL;DR

This paper develops a superhedging theorem for continuous asset prices considering transaction costs and model uncertainty, introducing a new topological framework that does not rely on Krein-Smulian theorems.

Contribution

It presents a novel superhedging theorem under transaction costs and model uncertainty for continuous processes, with a new topological approach.

Findings

Established a superhedging theorem in the specified setting

Introduced a new topological framework for the proof

Addressed the challenge of absence of Krein-Smulian theorem

Abstract

We formulate a superhedging theorem in the presence of transaction costs and model uncertainty. Asset prices are assumed continuous and uncertainty is modelled in a parametric setting. Our proof relies on a new topological framework in which no Krein-Smulian type theorem is available.