On Super-Replication in Discrete Time under Transaction Costs

DOI10.1137/S0040585X9797866XMaRDI QIDQ4328512zbMATH OpenOpenAlexFDO

Authors Pierre-François Koehl, Huyên Pham, Nizar Touzi

Publication date 25 April 2002

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x9797866x

zbMATH Keywords

transaction costsdual representationsuper-replication

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42)

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Cited in

(30)

• Utility maximization in markets with bid-ask spreads
• A super-replication theorem in Kabanov's model of transaction costs
• American contingent claims under small proportional transaction costs
• A closed-form solution to the problem of super-replication under transaction costs
• Options under proportional transaction costs: An algorithmic approach to pricing and hedging
• A note on super-replicating strategies
• Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs
• Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
• Super-replication with nonlinear transaction costs and volatility uncertainty
• Pricing under dynamic risk measures
• Explicit solution to the multivariate super-replication problem under transaction costs.
• The super-replication theorem under proportional transaction costs revisited
• Game options with gradual exercise and cancellation under proportional transaction costs
• An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
• Super-replication with fixed transaction costs
• Super‐replication with transaction costs under model uncertainty for continuous processes
• Superreplication with proportional transaction cost under model uncertainty
• Von Neumann–Gale model, market frictions and capital growth
• A dynamic version of the super-replication theorem under proportional transaction costs
• Hedging of game options with the presence of transaction costs
• Hedging under an expected loss constraint with small transaction costs
• Explicit characterization of the super-replication strategy in financial markets with partial transaction costs
• Convex duality with transaction costs
• Continuous-time duality for superreplication with transient price impact
• Numeraire portfolios and utility-based price systems under proportional transaction costs
• Super-replication under proportional transaction costs: From discrete to continuous-time models
• Dynamic programming principle and computable prices in financial market models with transaction costs
• A convexity approach to option pricing with transaction costs in discrete models
• Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
• The scaling limit of superreplication prices with small transaction costs in the multivariate case

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