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

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	On the Hedging of American Options in Discrete Time with Proportional Transaction Costs
2.	Creator	Author's name, affiliation, country	Bruno Bouchard; Université Paris 6 and CREST, France
2.	Creator	Author's name, affiliation, country	Emmanuel Teman; Université Paris 6, France
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)
4.	Description	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.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	2005-07-14
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ejp.ejpecp.org/article/view/266
10.	Identifier	Digital Object Identifier	10.1214/EJP.v10-266
11.	Source	Journal/conference title; vol., no. (year)	Electronic Journal of Probability; Vol 10
12.	Language	English=en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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