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Article Dans Une Revue Finance and Stochastics Année : 2009

Hedging of American Options under Transaction Costs

Résumé

We consider a continuous-time model of financial market with proportional transaction costs. Our result is a dual description of the set of initial endowments of self-financing portfolios super replicating American - type contingent claim. The latter is a right-continuous adapted vector process describing the number of assets to be delivered at the exercise date. We introduce a specific class of price systems, called coherent, and show that the hedging endowments are those whose 'values' are larger than the expected weighted 'values' of the pay-off process for every coherent price system used for the 'evaluation' of the assets.
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Dates et versions

hal-00700837 , version 1 (24-05-2012)

Identifiants

  • HAL Id : hal-00700837 , version 1

Citer

Dimitri de Vallière, Emmanuel Denis, Yuri Kabanov. Hedging of American Options under Transaction Costs. Finance and Stochastics, 2009, 13 (1), pp.105-119. ⟨hal-00700837⟩
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