A closed-form solution to the problem of super-replication under transaction costs

DOI10.1007/S007800050051MaRDI QIDQ1297907zbMATH OpenOpenAlexFDO

Authors Jakša Cvitanić, Huyên Pham, Nizar Touzi

Publication date 14 September 1999

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s007800050051

zbMATH Keywords

transaction costsviscosity solutionsbuy-and-hold strategiessuper-replicating strategies

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Cited in

(50)

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• Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model
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• Exact Superreplication Strategies for a Class of Derivative Assets
• A super-replication theorem in Kabanov's model of transaction costs
• Option pricing and hedging with execution costs and market impact
• American contingent claims under small proportional transaction costs
• A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options
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• Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
• On the super-replicating approach when trading a derivative is limited
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• Explicit solution to the multivariate super-replication problem under transaction costs.
• Consistent price systems in multiasset markets
• Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem
• The super-replication theorem under proportional transaction costs revisited
• Existence of shadow prices in finite probability spaces
• Super-replication with fixed transaction costs
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• On optimal terminal wealth under transaction costs
• Brownian moving averages have conditional full support
• On using shadow prices in portfolio optimization with transaction costs
• Foreign currency option pricing with proportional transaction costs
• Consistent price systems and face-lifting pricing under transaction costs
• Super‐replication with transaction costs under model uncertainty for continuous processes
• Option pricing with transaction costs using a Markov chain approximation
• On barrier option pricing in binomial market with transaction costs
• The super-replication problem via probabilistic methods
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