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, 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.
 
 
EXPLICIT SOLUTION OF THE MULTIVARIATE SUPER-REPLICATION PROBLEM UNDER TRANSACTION COSTS
BOUCHARD Bruno, TOUZI Nizar
2000-5
25-01-2000
 
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