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Article Dans Une Revue Electronic Journal of Probability Année : 2005

On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs

Résumé

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.
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Dates et versions

hal-00004200 , version 1 (09-02-2005)

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Bruno Bouchard, Emmanuel Temam. On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs. Electronic Journal of Probability, 2005, 10, pp.746-760. ⟨hal-00004200⟩
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