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Teor. Veroyatnost. i Primenen., 2000 Volume 45, Issue 4, Pages 783–788 (Mi tvp511)

This article is cited in 19 papers

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On super-replication in discrete time under transaction costs

P. F. Koehla, Pham Huyênb, N. Touzic

a CDC, DABF, France
b Laboratoire de Probabilitès et Modèles Aléatoires, UFR Matheématiques, Universiteé Paris VII, France
c CERMSEM, Université Paris I, France

Abstract: 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.

Received: 27.09.1998

Language: English

DOI: 10.4213/tvp511


 English version:
Theory of Probability and its Applications, 2001, 45:4, 667–673

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