On Super-Replication in Discrete Time under Transaction Costs

DOI10.1137/S0040585X9797866XzbMath0994.60048OpenAlexW2091788403MaRDI QIDQ4328512

Huyên Pham, Nizar Touzi, Pierre-François Koehl

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 costssuper-replicationdual representation

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42)

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Hedging Under an Expected Loss Constraint with Small Transaction Costs ⋮ American contingent claims under small proportional transaction costs ⋮ Game options with gradual exercise and cancellation under proportional transaction costs ⋮ Von Neumann–Gale model, market frictions and capital growth ⋮ Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment ⋮ Options under proportional transaction costs: An algorithmic approach to pricing and hedging ⋮ Utility maximization in markets with bid–ask spreads ⋮ Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization ⋮ Numeraire portfolios and utility-based price systems under proportional transaction costs

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