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1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires

Abstract : In this note, we consider a general discrete time financial market with proportional transaction costs as in 4, 5, 6, and 10. We provide a dual formulation for the set of initial endowments which allow to super-hedge some American claim. This extends the results of 1 which was obtained in a model with constant transaction costs and risky assets which evolve on a finite dimensional tree. We also provide fairly general conditions under which the expected formulation in terms of stopping times does not work.

Keywords : Transaction cost American option





Autor: Bruno Bouchard - Emmanuel Temam -

Fuente: https://hal.archives-ouvertes.fr/



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