On super-replication in discrete time under transaction costs
Teoriâ veroâtnostej i ee primeneniâ, Tome 45 (2000) no. 4, pp. 783-788
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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.
@article{TVP_2000_45_4_a15,
author = {P. F. Koehl and Pham Huy\^en and N. Touzi},
title = {On super-replication in discrete time under transaction costs},
journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
pages = {783--788},
year = {2000},
volume = {45},
number = {4},
language = {en},
url = {http://geodesic.mathdoc.fr/item/TVP_2000_45_4_a15/}
}
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/