Robust hedging with proportional transaction costs

Keyphrases

• Proportional Transaction Costs 100%
• Robust Hedging 100%
• Optimization Problem 33%
• Financial Markets 33%
• Probability Measure 33%
• Transport Problem 33%
• European Options 33%
• Risky Assets 33%
• Hedging 33%
• Discrete-time 33%
• Consistent Price Systems 33%
• Marginal Constraints 33%
• Investment Portfolio 33%
• Vanilla Options 33%
• Static Position 33%
• Martingale Problem 33%
• Monge-Kantorovich 33%
• Type Optimization 33%

Mathematics

• Approximates 100%
• Marginals 50%
• Probability Measure 50%
• Discrete Time 50%
• Risky Asset 50%