• xmlui.mirage2.page-structure.header.title
    • français
    • English
  • Help
  • Login
  • Language 
    • Français
    • English
View Item 
  •   BIRD Home
  • CEREMADE (UMR CNRS 7534)
  • CEREMADE : Publications
  • View Item
  •   BIRD Home
  • CEREMADE (UMR CNRS 7534)
  • CEREMADE : Publications
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Browse

BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesTypeThis CollectionBy Issue DateAuthorsTitlesType

My Account

LoginRegister

Statistics

Most Popular ItemsStatistics by CountryMost Popular Authors
Thumbnail

A super-replication theorem in Kabanov’s model of transaction costs

Campi, Luciano; Schachermayer, Walter (2006), A super-replication theorem in Kabanov’s model of transaction costs, Finance and Stochastics, 10, 4, p. 579-596. http://dx.doi.org/10.1007/s00780-006-0022-4

View/Open
super_replication.pdf (233.5Kb)
Type
Article accepté pour publication ou publié
Date
2006
Journal name
Finance and Stochastics
Volume
10
Number
4
Publisher
Springer
Pages
579-596
Publication identifier
http://dx.doi.org/10.1007/s00780-006-0022-4
Metadata
Show full item record
Author(s)
Campi, Luciano
Schachermayer, Walter
Abstract (EN)
We prove a general version of the super-replication theorem, which applies to Kabanov’s model of foreign exchange markets under proportional transaction costs. The market is described by a matrix-valued càdlàg bid-ask process $$(\Pi_t)_{t\in [0,T]}$$ evolving in continuous time. We propose a new definition of admissible portfolio processes as predictable (not necessarily right- or left- continuous) processes of finite variation related to the bid-ask process by economically meaningful relations. Under the assumption of existence of a strictly consistent price system (SCPS), we prove a closedness property for the set of attainable vector-valued contingent claims. We then obtain the super-replication theorem as a consequence of that property, thus generalizing to possibly discontinuous bid-ask processes analogous results obtained by Kabanov (Financ. Stoch. 3, 237–248, 1999), Kabanov and Last (Math. Financ. 12, 63–70, 2002) and Kabanov and Stricker (Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann, pp 125–136, 2002). Rásonyi’s counter-example (Lecture Notes in Mathematics 1832, 394–398, 2003) served as an important motivation for our approach.
Subjects / Keywords
Proportional transaction costs; Foreign exchange markets; Efficient friction; Super-replication theorem
JEL
G13 - Contingent Pricing; Futures Pricing
G11 - Portfolio Choice; Investment Decisions
G10 - General

Related items

Showing items related by title and author.

  • Thumbnail
    Explicit characterization of the super-replication strategy in financial markets with partial transaction costs 
    Bouchard, Bruno; Ben Tahar, Imen (2007) Article accepté pour publication ou publié
  • Thumbnail
    Explicit Solution of the Multivariate Super-Replication Problem under Transaction Costs 
    Bouchard, Bruno; Touzi, Nizar (2000) Article accepté pour publication ou publié
  • Thumbnail
    Limit theorems for the super-hedging prices in general models with transaction costs 
    Lépinette, Emmanuel; Vu, Duc Thinh (2022) Document de travail / Working paper
  • Thumbnail
    Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs 
    Lépinette, Emmanuel; Kabanov, Yuri (2012) Article accepté pour publication ou publié
  • Thumbnail
    Efficient portfolios in financial markets with proportional transaction costs 
    Campi, Luciano; Jouini, Elyès; Porte, Vincent (2013) Article accepté pour publication ou publié
Dauphine PSL Bibliothèque logo
Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16
Phone: 01 44 05 40 94
Contact
Dauphine PSL logoEQUIS logoCreative Commons logo