We consider a multivariate .nancial market withtransaction costs as
in Kabanov. We study the problem of finding the minimal initial capital needed
to hedge, without risk, European-type contingent claims. We prove that the
value of this stochastic control problem is given by the cost of the cheapest
buy-and-hold strategy. This is an extension of the already known result in the
one-dimensional case. An important feature of our analysis is that we do not
make use of the dual formulation of the problem, as in the previous
literature.
@article{1019487506,
author = {Bouchard, Bruno and Touzi, Nizar},
title = {Explicit solution to the multivariate super-replication problem
under transaction costs},
journal = {Ann. Appl. Probab.},
volume = {10},
number = {2},
year = {2000},
pages = { 685-708},
language = {en},
url = {http://dml.mathdoc.fr/item/1019487506}
}
Bouchard, Bruno; Touzi, Nizar. Explicit solution to the multivariate super-replication problem
under transaction costs. Ann. Appl. Probab., Tome 10 (2000) no. 2, pp. 685-708. http://gdmltest.u-ga.fr/item/1019487506/