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

   
@article{EJP266,
	author = {Bruno Bouchard and Emmanuel Teman},
	title = {On the Hedging of American Options in Discrete Time with Proportional Transaction Costs},
	journal = {Electron. J. Probab.},
	fjournal = {Electronic Journal of Probability},
	volume = {10},
	year = {2005},
	keywords = {},
	abstract = {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.},
	pages = {no. 22, 746-760},
	issn = {1083-6489},
	doi = {10.1214/EJP.v10-266},    
        url = {http://ejp.ejpecp.org/article/view/266}}