Explicit solution to the multivariate super-replication problem under transaction costs
成果类型：
Article
署名作者：
Bouchard, B; Touzi, N
署名单位：
Universite PSL; Universite Paris-Dauphine
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
发表日期：
2000
页码：
685-708
关键词：
摘要：
We consider a multivariate financial market with transaction 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.