dc.contributor.author Campi, Luciano dc.contributor.author Schachermayer, Walter dc.date.accessioned 2011-01-12T14:30:07Z dc.date.available 2011-01-12T14:30:07Z dc.date.issued 2006 dc.identifier.uri https://basepub.dauphine.fr/handle/123456789/5455 dc.language.iso en en dc.subject Proportional transaction costs en dc.subject Foreign exchange markets en dc.subject Efficient friction en dc.subject Super-replication theorem en dc.subject.ddc 332 en dc.subject.classificationjel G13 en dc.subject.classificationjel G11 en dc.subject.classificationjel G10 en dc.title A super-replication theorem in Kabanov’s model of transaction costs en dc.type Article accepté pour publication ou publié dc.contributor.editoruniversityother Vienna University of Technology Financial and Actuarial Mathematics Wiedner;Autriche dc.description.abstracten We prove a general version of the super-replication theorem, which applies to Kabanov’s model of foreign exchange markets under proportional transaction costs. The market is described by a matrix-valued càdlàg bid-ask process $$(\Pi_t)_{t\in [0,T]}$$ evolving in continuous time. We propose a new definition of admissible portfolio processes as predictable (not necessarily right- or left- continuous) processes of finite variation related to the bid-ask process by economically meaningful relations. Under the assumption of existence of a strictly consistent price system (SCPS), we prove a closedness property for the set of attainable vector-valued contingent claims. We then obtain the super-replication theorem as a consequence of that property, thus generalizing to possibly discontinuous bid-ask processes analogous results obtained by Kabanov (Financ. Stoch. 3, 237–248, 1999), Kabanov and Last (Math. Financ. 12, 63–70, 2002) and Kabanov and Stricker (Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann, pp 125–136, 2002). Rásonyi’s counter-example (Lecture Notes in Mathematics 1832, 394–398, 2003) served as an important motivation for our approach. en dc.relation.isversionofjnlname Finance and Stochastics dc.relation.isversionofjnlvol 10 en dc.relation.isversionofjnlissue 4 en dc.relation.isversionofjnldate 2006 dc.relation.isversionofjnlpages 579-596 en dc.relation.isversionofdoi http://dx.doi.org/10.1007/s00780-006-0022-4 en dc.description.sponsorshipprivate oui en dc.relation.isversionofjnlpublisher Springer en dc.subject.ddclabel Economie financière en
﻿