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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.
Cited literature [17 references]
https://hal.archives-ouvertes.fr/hal-00270030
Contributor : Bruno Bouchard Connect in order to contact the contributor
Submitted on : Thursday, April 3, 2008 - 3:26:47 PM
Last modification on : Tuesday, January 18, 2022 - 3:23:56 PM
Long-term archiving on: : Friday, September 28, 2012 - 12:15:26 PM
Contributor : Bruno Bouchard Connect in order to contact the contributor
Submitted on : Thursday, April 3, 2008 - 3:26:47 PM
Last modification on : Tuesday, January 18, 2022 - 3:23:56 PM
Long-term archiving on: : Friday, September 28, 2012 - 12:15:26 PM
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BC08_Hal.pdf
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