Abstract
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 language | English (US) |
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Pages (from-to) | 667-673 |
Number of pages | 7 |
Journal | Theory of Probability and its Applications |
Volume | 45 |
Issue number | 4 |
DOIs | |
State | Published - Dec 2000 |
Keywords
- Dual representation
- Super-replication cost
- Transaction costs
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty