A closed-form solution to the problem of super-replication under transaction costs
type: Item
instance of: scholarly article
title: A closed-form solution to the problem of super-replication under transaction costs
zbMATH Open document ID: 0924.90010
author: Jakša Cvitanić
author: Huyên Pham
author: Nizar Touzi
published in: Finance and Stochastics
publication date: 1999-09-14T00:00:00Z
review text: The authors investigate the problem of finding the minimal price needed to dominate European-type contingent claims under proportional transaction costs in a Markovian continuous-time model. Using a representation of the minimal super-replication price as a supremum for the expectations of the claim under the equivalent probability measure under which the appropriately discounted wealth process is a supermartingale the authors show that the least expensive dominating strategy for general path-independent contingent claims is equal to the least expensive buy-and-hold strategy. The viscosity solutions approach to that stochastic control problem is used.
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 1336674
zbMATH Keywords: transaction costs
zbMATH Keywords: super-replicating strategies
zbMATH Keywords: buy-and-hold strategies
zbMATH Keywords: viscosity solutions
reviewed by: Aleksandr D. Borisenko
MaRDI profile type: Publication
full work available at URL: s007800050051
OpenAlex ID: W1992925703
DOI: 10.1007/S007800050051
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description: scientific article; zbMATH DE number 1336674