Abstract
We consider a multivariate .nancial market withtransaction costs as in Kabanov. 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.
Citation
Bruno Bouchard. Nizar Touzi. "Explicit solution to the multivariate super-replication problem under transaction costs." Ann. Appl. Probab. 10 (3) 685 - 708, August 2000. https://doi.org/10.1214/aoap/1019487506
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