Geodesic
On super-replication in discrete time under transaction costs
Teoriâ veroâtnostej i ee primeneniâ, Tome 45 (2000) no. 4, pp. 783-788 Cet article a éte moissonné depuis la source Math-Net.Ru

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In a general discrete-time model with proportional transaction costs, we derive a dual representation of the super-replication cost, i.e., the minimal initial amount needed to hedge a contingent claim by means of a self-financing strategy. Such a representation is previously known from [E. Jouini and H. Kallal, J. Econ. Theory, 66 (1995), pp. 178–197], [S. Kusuoka, Ann. Appl. Probab., 5 (1995), pp. 198–221], and [J. Cvitanic and I. Karatzas, Math. Finance, 6 (1996), pp. 133–166] in similar frameworks.
Keywords: transaction costs, super-replication cost, dual representation. 
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P. F. Koehl; Pham Huyên; N. Touzi. On super-replication in discrete time under transaction costs. Teoriâ veroâtnostej i ee primeneniâ, Tome 45 (2000) no. 4, pp. 783-788. http://geodesic.mathdoc.fr/item/TVP_2000_45_4_a15/