On super-replication in discrete time under transaction costs

P. F. Koehl, H. Pham, N. Touzi

Research output: Contribution to journalArticlepeer-review


In a general discrete-time model with proportional transaction costs, we derive a dual representation of the super-replication cost, i.e., the minimal initial amount needed to hedge a contingent claim by means of a self-financing strategy. Such a representation is previously known from [E. Jouini and H. Kallal, J. Econ. Theory, 66 (1995), pp. 178-197], [S. Kusuoka, Ann. Appl. Probab., 5 (1995), pp. 198-221], and [J. Cvitanić and I. Karatzas, Math. Finance, 6 (1996), pp. 133-166] in similar frameworks.

Original languageEnglish (US)
Pages (from-to)667-673
Number of pages7
JournalTheory of Probability and its Applications
Issue number4
StatePublished - Dec 2000


  • Dual representation
  • Super-replication cost
  • Transaction costs

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty


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