Explicit characterization of the super-replication strategy in financial markets with partial transaction costs

DOI10.1016/j.spa.2006.09.010zbMath1151.91480arXivmath/0412247OpenAlexW3121385514MaRDI QIDQ877726

Bruno Bouchard, Imen Bentahar

Publication date: 3 May 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0412247

zbMATH Keywords

transaction costsviscosity solutionshedging options

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44)

Related Items (1)

Consistent price systems and face-lifting pricing under transaction costs

Cites Work

• Unnamed Item
• 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
• Uniqueness results for quasilinear parabolic equations through viscosity solutions' methods
• Explicit solution to the multivariate super-replication problem under 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
• A note on super-replicating strategies
• Super-replication in stochastic volatility models under portfolio constraints

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