Representation of continuous linear forms on the set of ladlag processes and the pricing of American claims under proportional costs

Bouchard, Bruno; Chassagneux, Jean-François

dc.contributor.author	Bouchard, Bruno
dc.contributor.author	Chassagneux, Jean-François
dc.date.accessioned	2009-09-25T12:31:52Z
dc.date.available	2009-09-25T12:31:52Z
dc.date.issued	2009
dc.identifier.issn	1083-6489
dc.identifier.uri	https://basepub.dauphine.fr/handle/123456789/1958
dc.language.iso	en	en
dc.subject	American options
dc.subject	Mathematical Finance
dc.subject	transaction costs
dc.subject.ddc	519	en
dc.title	Representation of continuous linear forms on the set of ladlag processes and the pricing of American claims under proportional costs
dc.type	Article accepté pour publication ou publié
dc.description.abstracten	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.
dc.relation.isversionofjnlname	Electronic Journal of Probability
dc.relation.isversionofjnlvol	14
dc.relation.isversionofjnlissue	paper numéro 24
dc.relation.isversionofjnldate	2009
dc.relation.isversionofjnlpages	612-632
dc.relation.isversionofdoi	http://dx.doi.org/10.1214/EJP.v14-625
dc.description.sponsorshipprivate	oui	en
dc.relation.isversionofjnlpublisher	Institute of Mathematical Statistics
dc.subject.ddclabel	Probabilités et mathématiques appliquées	en
dc.description.ssrncandidate	non
dc.description.halcandidate	oui
dc.description.readership	recherche
dc.description.audience	International
dc.relation.Isversionofjnlpeerreviewed	oui
dc.date.updated	2020-05-20T04:44:17Z

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Representation of continuous linear forms on the set of ladlag processes and the pricing of American claims under proportional costs

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