Bibliographic Details
| Title: |
ON SUPER-REPLICATION IN DISCRETE TIME UNDER TRANSACTION COSTS. |
| Authors: |
Koehl, P. F.1 koehl@laplace.ensae.fr, Pham, H.2 pham@math.univ-mlv.fr, Touzi, N.3 touzi@ceremade.dauphine.fr |
| Source: |
Theory of Probability & Its Applications. 2001, Vol. 45 Issue 4, p667. 7p. |
| Subjects: |
Transaction costs, Self-financing |
| 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. Cvitanić and I. Karatzas, Math. Finance, 6 (1996), pp. 133-166] in similar frameworks. [ABSTRACT FROM AUTHOR] |
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| Database: |
Engineering Source |
