General financial market model defined by a liquidation value process
Lépinette, Emmanuel; Tran Quoc, Tuan (2014), General financial market model defined by a liquidation value process, Stochastics: An International Journal of Probability and Stochastics Processes, 88, 3, p. 437-459. http://dx.doi.org/10.1080/17442508.2015.1086348
TypeArticle accepté pour publication ou publié
External document linkhttp://dx.doi.org/10.2139/ssrn.2443746
Journal nameStochastics: An International Journal of Probability and Stochastics Processes
MetadataShow full item record
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Tran Quoc, Tuan
Abstract (EN)Financial market models defined by a liquidation value process generalize the conic models of Schachermayer and Kabanov where the transaction costs are proportional to the exchanged volumes of traded assets. The solvency set of all portfolio positions that can be liquidated without any debt is not necessary convex, e.g. in presence of proportional transaction costs and fixed costs. Therefore, the classical duality principle based on the Hahn–Banach separation theorem is not appropriate to characterize the prices super hedging a contingent claim. Using an alternative method based on the concepts of essential supremum and maximum, we provide a characterization of European and American contingent claim prices under the absence of arbitrage opportunity of the second kind.
Subjects / KeywordsFinancial markets; liquidation value; transaction costs; European and American options; hedging; partial order
Showing items related by title and author.