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2009 Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs
Jean-Francois Chassagneux, Bruno Bouchard
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Electron. J. Probab. 14: 612-632 (2009). DOI: 10.1214/EJP.v14-625

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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Jean-Francois Chassagneux. Bruno Bouchard. "Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs." Electron. J. Probab. 14 612 - 632, 2009. https://doi.org/10.1214/EJP.v14-625

Information

Accepted: 27 February 2009; Published: 2009
First available in Project Euclid: 1 June 2016

zbMATH: 1186.91210
MathSciNet: MR2486816
Digital Object Identifier: 10.1214/EJP.v14-625

Subjects:
Primary: 91B28
Secondary: 60G42

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