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On the hedging of american options in discrete time markets with proportional transaction costs

Abstract : In this note, we consider a general discrete time financial market with proportional transaction costs as in [4], [5], [6], and [10]. We provide a dual formulation for the set of initial endowments which allow to super-hedge some American claim. This extends the results of [1] which was obtained in a model with constant transaction costs and risky assets which evolve on a finite dimensional tree. We also provide fairly general conditions under which the expected formulation in terms of stopping times does not work.
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https://hal.archives-ouvertes.fr/hal-00002983
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Submitted on : Thursday, September 30, 2004 - 1:00:53 AM
Last modification on : Thursday, December 10, 2020 - 11:08:24 AM
Long-term archiving on: : Thursday, April 1, 2010 - 3:12:37 PM

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  • HAL Id : hal-00002983, version 1

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Bruno Bouchard, Emmanuel Temam. On the hedging of american options in discrete time markets with proportional transaction costs. 2004. ⟨hal-00002983⟩

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