Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

On the impact of proportional transaction costs

Auteur(s):

Code(s) de Classification MSC:

Résumé: In the present paper we consider the market model with a general continuous price process and proportional transaction costs and estimate the super-replication prices for various options. In particular we establish general conditions ensuring the absence of arbitrage and that the super-replication prices for general European options concide with those of the optimal buy-and-hold strategy. The purely probabilistic approach enables us to establish the results for a much larger class of price processes than continuous semimartingales.

Mots Clés: continuous time markets ; transaction costs ; absence of arbitrage ; option hedging

Date: 2000-07-19

Prépublication numéro: PMA-607