Cahiers du CEREMADE 

Unité
Mixte de Recherche du C.N.R.S. N°7534 

Abstract : We consider a multivariate financial market with transaction costs as in Kabanov (1999). We study the problem of finding the minimal initial capital needed to hedge, without risk, Europeantype contingent claims. We prove that the value of this stochastic control problem is given by the cost of the cheapest buyandhold strategy. This is an extension of the already known result in the onedimensional 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. 





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