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 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 friction.