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ON SUPER-REPLICATION IN DISCRETE TIME UNDER TRANSACTION COSTS.

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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]
Copyright of Theory of Probability & Its Applications is the property of Society for Industrial & Applied Mathematics and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
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  Data: 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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  Data: <i>Copyright of Theory of Probability & Its Applications is the property of Society for Industrial & Applied Mathematics and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.)
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        Value: 10.1137/S0040585X9797866X
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      – TitleFull: ON SUPER-REPLICATION IN DISCRETE TIME UNDER TRANSACTION COSTS.
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