On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs
Temam, Emmanuel; Bouchard, Bruno (2005), On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs, Electronic Journal of Probability, 10, 22, p. 746-760
Type
Article accepté pour publication ou publiéDate
2005Journal name
Electronic Journal of ProbabilityVolume
10Number
22Publisher
Institute of Mathematical Statistics and the Bernoulli society.
Pages
746-760
Metadata
Show full item recordAbstract (EN)
In this note, we consider a general discrete time ¯nancial market with pro- portional transaction costs as in Kabanov and Stricker [4], Kabanov et al. [5], Kabanov et al. [6] and Schachermayer [10]. We provide a dual formulation for the set of initial endowments which allow to super-hedge some American claim. We show that this extends the result of Chalasani and Jha [1] which was ob- tained in a model with constant transaction costs and risky assets which evolve on a ¯nite dimensional tree. We also provide fairly general conditions under which the expected formulation in terms of stopping times does not work.Subjects / Keywords
Transaction costs; Sum of random convex cones; Mathematical FinanceJEL
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