Explicit Solution of the Multivariate Super-Replication Problem under Transaction Costs
We consider a multivariate financial market with transaction 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.
|Date of creation:||2000|
|Date of revision:|
|Publication status:||Published in The Annals of Applied Probability, 2000, Vol. 10, no. 3. pp. 685-708.Length: 23 pages|
|Contact details of provider:|| Web page: http://www.dauphine.fr/en/welcome.html|
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