MODEL-FREE WEAK NO-ARBITRAGE AND SUPERHEDGING UNDER TRANSACTION COSTS BEYOND EFFICIENT FRICTION

Abstract

The paper is continuation of Kim and Ryom (2022), in which a pathwise superhedging duality was proved for multidimensional contingent claims under model-free strict no-arbitrage and efficient frictions. We consider a two-dimensional market with transaction costs beyond efficient friction in a model-free framework. We get a condition to hold model-free weak no-arbitrage and prove a superhedging duality under model-free weak no-arbitrage.