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dc.contributor.authorCampi, Luciano
dc.contributor.authorSchachermayer, Walter
dc.date.accessioned2011-01-12T14:30:07Z
dc.date.available2011-01-12T14:30:07Z
dc.date.issued2006
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5455
dc.language.isoenen
dc.subjectProportional transaction costsen
dc.subjectForeign exchange marketsen
dc.subjectEfficient frictionen
dc.subjectSuper-replication theoremen
dc.subject.ddc332en
dc.subject.classificationjelG13en
dc.subject.classificationjelG11en
dc.subject.classificationjelG10en
dc.titleA super-replication theorem in Kabanov’s model of transaction costsen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherVienna University of Technology Financial and Actuarial Mathematics Wiedner;Autriche
dc.description.abstractenWe 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.isversionofjnlnameFinance and Stochastics
dc.relation.isversionofjnlvol10en
dc.relation.isversionofjnlissue4en
dc.relation.isversionofjnldate2006
dc.relation.isversionofjnlpages579-596en
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s00780-006-0022-4en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelEconomie financièreen


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