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Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs


 
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1. Title Title of document Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs
 
2. Creator Author's name, affiliation, country Jean-Francois Chassagneux; ENSAE
 
2. Creator Author's name, affiliation, country Bruno Bouchard; Université Paris Dauphine, Ceremade
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Randomized stopping times; American options; transaction costs
 
3. Subject Subject classification 91B28, 60G42
 
4. Description Abstract We discuss a d-dimensional version (for làdlàg optional processes) of a duality result by Meyer (1976) between {bounded} càdlàg adapted processes and random measures. We show that it allows to establish, in a very natural way, a dual representation for the set of initial endowments which allow to super-hedge a given American claim in a continuous time model with proportional transaction costs. It generalizes a previous result of Bouchard and Temam (2005) who considered a discrete time setting. It also completes the very recent work of Denis, De Vallière and Kabanov (2008) who studied càdlàg American claims and used a completely different approach.
 
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7. Date (YYYY-MM-DD) 2009-02-27
 
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/625
 
10. Identifier Digital Object Identifier 10.1214/EJP.v14-625
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 14
 
12. Language English=en
 
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