# Representation of continuous linear forms on the set of ladlag processes and the pricing of American claims under proportional costs

Abstract : We discuss a $d$-dimensional version (for làdlàg optional processes) of a duality result by Meyer (1976) between {bounded} càdlàg adapted processes and random measures. We show that it allows to establish, in a very natural way, a dual representation for the set of initial endowments which allow to super-hedge a given American claim in a continuous time model with proportional transaction costs. It generalizes a previous result of Bouchard and Temam (2005) who considered a discrete time setting. It also completes the very recent work of Denis, De Vallière and Kabanov (2008) who restricted to càdlàg American claims and used a completely different approach.
Type de document :
Article dans une revue
Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2009, 14, pp.612-632
Domaine :

https://hal.archives-ouvertes.fr/hal-00270030
Contributeur : Bruno Bouchard <>
Soumis le : jeudi 3 avril 2008 - 15:26:47
Dernière modification le : mercredi 12 octobre 2016 - 01:15:59
Document(s) archivé(s) le : vendredi 28 septembre 2012 - 12:15:26

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BC08_Hal.pdf
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• HAL Id : hal-00270030, version 1

### Citation

Bruno Bouchard, Jean-François Chassagneux. Representation of continuous linear forms on the set of ladlag processes and the pricing of American claims under proportional costs. Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2009, 14, pp.612-632. <hal-00270030>

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