On the hedging of american options in discrete time markets with proportional transaction costs
Bouchard, Bruno ; Temam, Emmanuel
HAL, hal-00002983 / Harvested from HAL
Text on HAL
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.
Publié le : 2004-09-30
Classification:  Transaction cost,  American option,  91B28, 60G40,  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 
@article{hal-00002983,
     author = {Bouchard, Bruno and Temam, Emmanuel},
     title = {On the hedging of american options in discrete time markets with proportional transaction costs},
     journal = {HAL},
     volume = {2004},
     number = {0},
     year = {2004},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00002983}
}

Bouchard, Bruno; Temam, Emmanuel. On the hedging of american options in discrete time markets with proportional transaction costs. HAL, Tome 2004 (2004) no. 0, . http://gdmltest.u-ga.fr/item/hal-00002983/