On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs
| dc.creator | Bouchard, Bruno | |
| dc.creator | Temam, Emmanuel | |
| dc.date | 2005-02-09 | |
| dc.date.accessioned | 2026-07-07T12:07:15Z | |
| dc.date.available | 2026-07-07T12:07:15Z | |
| dc.description | In this note, we consider a general discrete time financial market with proportional transaction costs as in Kabanov and Stricker (2001), Kabanov et al. (2002), Kabanov et al. (2003) and Schachermayer (2004). We provide a dual formulation for the set of initial endowments which allow to super-hedge some American claim. We show that this extends the result of Chalasani and Jha (2001) 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. | |
| dc.identifier | https://arxiv.org/abs/math/0502189 | |
| dc.identifier | http://arxiv.org/abs/math/0502189 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208903 | |
| dc.subject | Probability | |
| dc.subject | Pricing of Securities | |
| dc.subject | MSC Classification (2000): 91B28, 60G40 | |
| dc.title | On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs | |
| dc.type | text |