Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs
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Publication:1039118
DOI10.1214/EJP.v14-625zbMath1186.91210MaRDI QIDQ1039118
Bruno Bouchard, Jean-François Chassagneux
Publication date: 20 November 2009
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/222947
Martingales with discrete parameter (60G42) Derivative securities (option pricing, hedging, etc.) (91G20)
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American and Bermudan options in currency markets with proportional transaction costs ⋮ AMERICAN OPTIONS WITH GRADUAL EXERCISE UNDER PROPORTIONAL TRANSACTION COSTS ⋮ Asymptotic arbitrage in large financial markets with friction ⋮ No-arbitrage of second kind in countable markets with proportional transaction costs ⋮ Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs ⋮ Robust No Arbitrage of the Second Kind with a Continuum of Assets and Proportional Transaction Costs ⋮ General financial market model defined by a liquidation value process ⋮ Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
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