Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs

DOI10.1214/EJP.v14-625zbMath1186.91210MaRDI QIDQ1039118

Bruno Bouchard, Jean-François Chassagneux

Publication date: 20 November 2009

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/222947

zbMATH Keywords

American optionstransaction costsrandomized stopping times

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

American and Bermudan options in currency markets with proportional transaction costs ⋮ AMERICAN OPTIONS WITH GRADUAL EXERCISE UNDER PROPORTIONAL TRANSACTION COSTS ⋮ Asymptotic arbitrage in large financial markets with friction ⋮ No-arbitrage of second kind in countable markets with proportional transaction costs ⋮ Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs ⋮ Robust No Arbitrage of the Second Kind with a Continuum of Assets and Proportional Transaction Costs ⋮ General financial market model defined by a liquidation value process ⋮ Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs

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