Explicit solution to the multivariate super-replication problem under transaction costs.

DOI10.1214/aoap/1019487506zbMath1083.91510OpenAlexW2271468679MaRDI QIDQ1872495

Bruno Bouchard, Nizar Touzi

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aoap/1019487506

zbMATH Keywords

dynamic programmingtransaction costsviscosity solutionshedging options

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (17)

General indifference pricing with small transaction costs ⋮ Hedging Under an Expected Loss Constraint with Small Transaction Costs ⋮ NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS ⋮ Von Neumann–Gale model, market frictions and capital growth ⋮ Explicit characterization of the super-replication strategy in financial markets with partial transaction costs ⋮ Hedging of game options with the presence of transaction costs ⋮ Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation ⋮ Optimal control versus stochastic target problems: an equivalence result ⋮ Consistent price systems and face-lifting pricing under transaction costs ⋮ The super-replication problem via probabilistic methods ⋮ Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment ⋮ The scaling limit of superreplication prices with small transaction costs in the multivariate case ⋮ On using shadow prices in portfolio optimization with transaction costs ⋮ Continuous-time duality for superreplication with transient price impact ⋮ Stochastic targets with mixed diffusion processes and viscosity solutions. ⋮ On the dual of the solvency cone ⋮ Facelifting in utility maximization

Cites Work

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• A closed-form solution to the problem of super-replication under transaction costs
• Hedging and liquidation under transaction costs in currency markets
• On the possibility of hedging options in the presence of transaction costs
• Martingales and arbitage in securities markets with transaction costs
• There is no nontrivial hedging portfolio for option pricing with transaction costs
• User’s guide to viscosity solutions of second order partial differential equations
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• Superreplication Under Gamma Constraints
• A note on super-replicating strategies
• Convex Analysis

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