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Teoriya Veroyatnostei i ee Primeneniya, 2000, Volume 45, Issue 4, Pages 783–788
DOI: https://doi.org/10.4213/tvp511 (Mi tvp511) 		 
This article is cited in 19 scientific papers (total in 19 papers)

Short Communications

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
Full-text PDF (385 kB) Citations (19)
DOI: https://doi.org/10.4213/tvp511
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
English version:
Theory of Probability and its Applications, 2001, Volume 45, Issue 4, Pages 667–673
DOI: https://doi.org/10.1137/S0040585X9797866X
Bibliographic databases:
Document Type: Article
Language: English
Citation: P. F. Koehl, Pham Huyên, N. Touzi, “On super-replication in discrete time under transaction costs”, Teor. Veroyatnost. i Primenen., 45:4 (2000), 783–788; Theory Probab. Appl., 45:4 (2001), 667–673
Citation in format AMSBIB
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\jour Theory Probab. Appl.
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  • https://www.mathnet.ru/eng/tvp/v45/i4/p783
    • This publication is cited in the following 19 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
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