On the Super-Replicating Approach When Trading a Derivative is Limited

We extend the theory of super-replicating a European option by relaxing its two main assumptions: We take into account the constraints on trading the option and allow it to be traded inter-temporally. The first extension has a dramatic effect on the price of a portfolio hedging the option, while the second one has a dramatic effect on finding arbitrage opportunities in the market. We introduce a new approach for identifying the best arbitrage opportunities in the market with frictions