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General financial market model defined by a liquidation value process

hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorLépinette, Emmanuel*
hal.structure.identifier
dc.contributor.authorTran Quoc, Tuan*
dc.date.accessioned2017-10-31T15:04:45Z
dc.date.available2017-10-31T15:04:45Z
dc.date.issued2014-05
dc.identifier.issn1744-2508
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16888
dc.language.isoenen
dc.subjectFinancial marketsen
dc.subjectliquidation valueen
dc.subjecttransaction costsen
dc.subjectEuropean and American optionsen
dc.subjecthedgingen
dc.subjectpartial orderen
dc.subject.ddc519en
dc.titleGeneral financial market model defined by a liquidation value processen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenFinancial 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.en
dc.relation.isversionofjnlnameStochastics: An International Journal of Probability and Stochastics Processes
dc.relation.isversionofjnlvol88en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate2015-10
dc.relation.isversionofjnlpages437-459en
dc.relation.isversionofdoihttp://dx.doi.org/10.1080/17442508.2015.1086348en
dc.identifier.urlsitehttp://dx.doi.org/10.2139/ssrn.2443746en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2017-10-31T15:01:53Z
hal.author.functionaut
hal.author.functionaut


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